Financial modelling with multivariate mixed fractional Brownian motion

MaRDI QIDQ5019097zbMATH OpenFDO

Authors Alexander Alvarez

Publication date 29 December 2021

Full work available at URL https://rev-inv-ope.pantheonsorbonne.fr/sites/default/files/inline-files/42221-01.pdf

zbMATH Keywords

fractional Brownian motionEpps effectpayoff replication

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3721834 (Why is no real title available?)
• scientific article; zbMATH DE number 7049505 (Why is no real title available?)
• scientific article; zbMATH DE number 797365 (Why is no real title available?)
• A closed-form formula characterization of the Epps effect
• A general version of the fundamental theorem of asset pricing
• A note on Wick products and the fractional Black-Scholes model
• Arbitrage and hedging in a non probabilistic framework
• Dynamic spanning without probabilities
• Estimating covariation: Epps effect, microstructure noise
• Identification of the Multivariate Fractional Brownian Motion
• Mixed fractional Brownian motion
• Model-free CPPI
• No arbitrage without semimartingales
• Optimal investment with transaction costs and without semimartingales
• Pathwise no-arbitrage in a class of delta hedging strategies
• Pricing and Hedging Spread Options
• Pricing by hedging and no-arbitrage beyond semimartingales
• The Epps effect revisited
• Trajectory-based models, arbitrage and continuity

Cited in

(3)

• Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation
• Modelling NASDAQ series by sparse multifractional Brownian motion
• An enhanced applications of brownian motion to mathematical finance in stochastic modeling

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