Fractional Processes as Models in Stochastic Finance

DOI10.1007/978-3-642-18412-3_3zbMath1239.91001arXiv1004.3106OpenAlexW1780773322MaRDI QIDQ5198556

Christian Bender, Tommi Sottinen, Esko Valkeila

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.3106

zbMATH Keywords

ArbitrageFractional Brownian motionApproximation Fractional Brownian motionApproximation of geometric fractional Brownian motionHedge in fractional models

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (30)

A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift ⋮ Mixed Gaussian processes: a filtering approach ⋮ No-arbitrage symmetries ⋮ Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model ⋮ Fast and unbiased estimator of the time-dependent Hurst exponent ⋮ Unnamed Item ⋮ Hedging in fractional Black-Scholes model with transaction costs ⋮ Stochastic Averaging Principle for Mixed Stochastic Differential Equations ⋮ CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS ⋮ On the fractional stochastic integration for random non-smooth integrands ⋮ On pricing and hedging in financial markets with long-range dependence ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Fractional processes and their statistical inference: an overview ⋮ Estimation of the Hurst parameter from continuous noisy data ⋮ Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process ⋮ Random variables as pathwise integrals with respect to fractional Brownian motion ⋮ Absence of arbitrage in a general framework ⋮ CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS ⋮ On the conditional small ball property of multivariate Lévy-driven moving average processes ⋮ Model-free CPPI ⋮ Simple arbitrage ⋮ Weak and strong discrete-time approximation of fractional SDEs ⋮ Mixed fractional Brownian motion: a spectral take ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ No arbitrage and lead-lag relationships ⋮ TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY ⋮ Forward integrals and SDE with fractal noise ⋮ PRICING DERIVATIVES IN HERMITE MARKETS ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations ⋮ Strong asymptotic arbitrage in the large fractional binary market

This page was built for publication: Fractional Processes as Models in Stochastic Finance