Found 85 Documents (Results 1–85)
Short communication: exponential utility maximization in a discrete time Gaussian framework. (English) Zbl 1522.91217
Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk. (English) Zbl 07888959
MSC:
62-XX
Fractional processes and their statistical inference: an overview. (English) Zbl 1533.60048
MSC:
60G22
Pricing European double barrier option with moving barriers under a fractional Black-Scholes model. (English) Zbl 1492.91430
Stochastic averaging principle for mixed stochastic differential equations. (English) Zbl 1524.60114
MSC:
60H05
On operator fractional Lévy motion: integral representations and time-reversibility. (English) Zbl 1490.60087
The convergence of exponential Euler method for weighted fractional stochastic equations. (English) Zbl 1499.65018
Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets. (English) Zbl 1535.62048
The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (English) Zbl 1485.91232
Stochastic resonance in coupled star-networks with power-law heterogeneity. (English) Zbl 07462290
MSC:
82-XX
Pricing catastrophe equity put options in a mixed fractional Brownian motion environment. (English) Zbl 07348391
Euler scheme for fractional delay stochastic differential equations by rough paths techniques. (English) Zbl 1499.60218
Trading fractional Brownian motion. (English) Zbl 1429.91290
Reviewer: Aleksandr D. Borisenko (Kyïv)
Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion. (English) Zbl 1493.91130
Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications. (English) Zbl 1415.60040
Maximum likelihood estimators of a long-memory process from discrete observations. (English) Zbl 1446.62232
Estimation of the Hurst parameter in the simultaneous presence of jumps and noise. (English) Zbl 1394.60026
Numerically pricing American options under the generalized mixed fractional Brownian motion model. (English) Zbl 1400.91650
Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions. (English) Zbl 1341.60049
Reviewer: Andrew Dale (Durban)
Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets. (English) Zbl 1337.91159
Stochastic viability and comparison theorems for mixed stochastic differential equations. (English) Zbl 1310.60087
A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes. (English) Zbl 1312.60029
The pricing of credit default swaps under a generalized mixed fractional Brownian motion. (English) Zbl 1402.91847
An accurate algorithm to calculate the Hurst exponent of self-similar processes. (English) Zbl 1303.60029
LIL for the adjusted range of partial sums in AR(1) models with possibly infinite variance. (English) Zbl 1308.60036
Reviewer: Marius Iosifescu (Bucureşti)
Abductive learning of quantized stochastic processes with probabilistic finite automata. (English) Zbl 1353.68230
Philos. Trans. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 371, No. 1984, Article ID 20110543, 22 p. (2013).
A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion. (English. French summary) Zbl 1260.60135
Reviewer: Dominique Lepingle (Orléans)
Inducing normality from non-Gaussian long memory time series and its application to stock return data. (English) Zbl 1226.91088
On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields. (English) Zbl 1219.60018
Reviewer: Nicko G. Gamkrelidze (Moskva)
Comparison of non-parametric and semi-parametric tests in detecting long memory. (English) Zbl 1511.62212
Testing for long-range dependence in the Brazilian term structure of interest rates. (English) Zbl 1198.91221
Variations and estimators for self-similarity parameters via Malliavin calculus. (English) Zbl 1196.60036
Reviewer: Nicko G. Gamkrelidze (Moskva)
Multifractional properties of stock indices decomposed by filtering their pointwise Hölder regularity. (English) Zbl 1210.91129
Serial correlation, periodicity and scaling of eigenmodes in an emerging market. (English) Zbl 1185.91137
Precise rates in the law of the iterated logarithm for \(R/S\) statistics. (English) Zbl 1204.60027
MSC:
60F15
Determining the duration of cycles in the market of second-hand tanker ships, 1976–2001: is prediction possible. (English) Zbl 1154.91401
No arbitrage under transaction costs, with fractional Brownian motion and beyond. (English) Zbl 1133.91421
The law of iterated logarithm of rescaled range statistics for AR(1) model. (English) Zbl 1101.60327
On fractional tempered stable motion. (English) Zbl 1102.60036
Reviewer: Victoria Knopova (Kiev)
Ruin probability at a given time for a mode with liabilities of the fractional Brownian motion type: A partial differential equation approach. (English) Zbl 1143.91028
Reviewer: Rostyslav E. Yamnenko (Kyïv)
MSC:
91B30
62P05
Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations. (English) Zbl 1091.62087
Reviewer: R. E. Maiboroda (Kyïv)
Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. (English) Zbl 1152.91482
Pathwise identification of the memory function of multifractional Brownian motion with application to finance. (English) Zbl 1100.91037
The law of the iterated logarithm for the rescaled R/S statistics without the second moment. (English) Zbl 1156.60308
MSC:
60F15
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. (English) Zbl 1088.91051
MSC:
91B82
91B28
A fractional version of the Merton model. (English) Zbl 1071.91024
Reviewer: Yuliya S. Mishura (Kyïv)
Rescaled variance and related tests for long memory in volatility and levels. (English) Zbl 1027.62064
J. Econom. 112, No. 2, 265-294 (2003); corrigendum ibid. 126, No. 2, 571-572 (2005).
Estimating long-range dependence: Finite sample properties and confidence intervals. (English) Zbl 0997.91030
MSC:
91B28
Martingale transforms and Girsanov theorem for long-memory Gaussian processes. (English) Zbl 1002.60030
Reviewer: Yuhu Feng (Shanghai)
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