Add to ORKGAbstract. This work investigates financial models for option pricing, interest rates and credit risk with stochastic processes that have memory and discontinuities. These models are formulated in terms of the fractional Brownian motion, the fractional or filtered Lévy process (also doubly stochastic) and their approximations by semimartingales. Their stochastic calculus is treated in the sense of Malliavin and Itô formulas are derived. We characterize the risk-neutral probability measures in terms of these processes for options pricing models of Black-Scholes type with jumps. We also study interest rates models, in particular the models of Vasicek, Cox-Ingersoll-Ross and Heath-Jarrow-Morton. Finally we study credit risk models
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Memory effect is an important phenomenon in financial systems, and a number of research works have b...
Abstract. This work investigates financial models for option pricing, interest rates and credit risk...
Ce travail étudie des modèles financiers pour les prix d'options, les taux d'intérêts et le risque d...
Accès restreint aux membres de l'Université de Lorraine jusqu'au 2016-08-30This work investigates fi...
Title: Stochastic Models in Financial Mathematics Author: Bc. Oliver Waczulík Department: Department...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
In my doctoral work, I have developed stochastic models that use different type of noises, to price ...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
An important research area in financial mathematics is the study of long memory phenomenon in financ...
The paper Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian M...
We consider fractional Ornstein–Uhlenbeck process as well as fractional CIR-process with Hurst index...
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Memory effect is an important phenomenon in financial systems, and a number of research works have b...
Abstract. This work investigates financial models for option pricing, interest rates and credit risk...
Ce travail étudie des modèles financiers pour les prix d'options, les taux d'intérêts et le risque d...
Accès restreint aux membres de l'Université de Lorraine jusqu'au 2016-08-30This work investigates fi...
Title: Stochastic Models in Financial Mathematics Author: Bc. Oliver Waczulík Department: Department...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
In my doctoral work, I have developed stochastic models that use different type of noises, to price ...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
An important research area in financial mathematics is the study of long memory phenomenon in financ...
The paper Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian M...
We consider fractional Ornstein–Uhlenbeck process as well as fractional CIR-process with Hurst index...
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Memory effect is an important phenomenon in financial systems, and a number of research works have b...