This article is aimed at to derive geometric fractional Brownian motion where its volatility follow long memory stochastic volatility model, in particular the fractional Ornstein-Uhlenbech process. The innovation algorithm is utilized to simplify such derivation. A simple case of is calculated to illustrate the calculation to accompany this derivation
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
In this thesis, I investigate the properties of fractional Brownian motion for use in the stock mar...
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility ...
The subject of this thesis is to study the geometric fracional Brownian motion. To do this, the nece...
We investigate the general problem of estimating the translation of a stochastic process governed by...
http://www.scopus.com/record/display.url?eid=2-s2.0-84861914067&origin=resultslist&sort=plf-f&src=s&...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
An important research area in financial mathematics is the study of long memory phenomenon in financ...
Title: Stochastic Models in Financial Mathematics Author: Bc. Oliver Waczulík Department: Department...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset ...
We consider fractional Ornstein–Uhlenbeck process as well as fractional CIR-process with Hurst index...
We present new theoretical results on the fractional Brownian motion, including different definition...
In recent years, the field of Fractional Brownian motion, Fractional Gaussian noise and long-range d...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
In this thesis, I investigate the properties of fractional Brownian motion for use in the stock mar...
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility ...
The subject of this thesis is to study the geometric fracional Brownian motion. To do this, the nece...
We investigate the general problem of estimating the translation of a stochastic process governed by...
http://www.scopus.com/record/display.url?eid=2-s2.0-84861914067&origin=resultslist&sort=plf-f&src=s&...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
An important research area in financial mathematics is the study of long memory phenomenon in financ...
Title: Stochastic Models in Financial Mathematics Author: Bc. Oliver Waczulík Department: Department...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset ...
We consider fractional Ornstein–Uhlenbeck process as well as fractional CIR-process with Hurst index...
We present new theoretical results on the fractional Brownian motion, including different definition...
In recent years, the field of Fractional Brownian motion, Fractional Gaussian noise and long-range d...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
In this thesis, I investigate the properties of fractional Brownian motion for use in the stock mar...