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Seminar on Probability and Statistics
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2018/12/05
13:00-15:00 Room #156 (Graduate School of Math. Sci. Bldg.)
Yuliia Mishura (The Taras Shevchenko National University of Kiev)
Lecture 2:Representation results for the Gaussian processes. Financial applications of fractional Brownian motion
Yuliia Mishura (The Taras Shevchenko National University of Kiev)
Lecture 2:Representation results for the Gaussian processes. Financial applications of fractional Brownian motion
[ Abstract ]
Arbitrage with fBm: why it appears. How to present any contingent claim via self-financing strategy on the financial market involving fBm. Absence of arbitrage for the mixed models. Fractional -Uhlenbeck and fractional Cox-Ingersoll-Ross processes as the models for stochastic volatility.
Arbitrage with fBm: why it appears. How to present any contingent claim via self-financing strategy on the financial market involving fBm. Absence of arbitrage for the mixed models. Fractional -Uhlenbeck and fractional Cox-Ingersoll-Ross processes as the models for stochastic volatility.
