Financial modelling with multivariate mixed fractional Brownian motion

zbMATH Open1481.91225MaRDI QIDQ5019097FDOQ5019097

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

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zbMATH Keywords

fractional Brownian motionEpps effectpayoff replication

Mathematics Subject Classification ID

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

Cites Work

• Estimating covariation: Epps effect, microstructure noise
• A general version of the fundamental theorem of asset pricing
• Title not available (Why is that?)
• Pricing and Hedging Spread Options
• Dynamic spanning without probabilities
• Model-free CPPI
• Pricing by hedging and no-arbitrage beyond semimartingales
• Pathwise no-arbitrage in a class of delta hedging strategies
• A note on Wick products and the fractional Black-Scholes model
• Optimal investment with transaction costs and without semimartingales
• Mixed fractional Brownian motion
• Title not available (Why is that?)
• No arbitrage without semimartingales
• The Epps effect revisited
• Title not available (Why is that?)
• Identification of the Multivariate Fractional Brownian Motion
• Arbitrage and hedging in a non probabilistic framework
• A closed-form formula characterization of the Epps effect
• 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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