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of 7
pro vyhledávání: '"Almani, Hamidreza Maleki"'
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed form for the jump-diffusion model, considering the Black-Scholes frame
Externí odkaz:
http://arxiv.org/abs/2408.10785
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also inclu
Externí odkaz:
http://arxiv.org/abs/2401.05114
We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.
Externí odkaz:
http://arxiv.org/abs/2310.05675
Autor:
Vasudev, Aneesh, Kakoee, Alireza, Axelsson, Martin, Almani, Hamidreza Maleki, Hyvönen, Jari, Mikulski, Maciej
Publikováno v:
In Energy Conversion and Management 15 July 2024 312
We study the so-called multi-mixed fractional Brownian motions (mmfBm) and multi-mixed fractional Ornstein--Ulhenbeck (mmfOU) processes. These processes are constructed by mixing by superimposing (infinitely many) independent fractional Brownian moti
Externí odkaz:
http://arxiv.org/abs/2103.02978
Akademický článek
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Publikováno v:
Frontiers in Applied Mathematics & Statistics; 2024, p1-8, 8p