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Calibrating fractional Vasicek model (Q6169355)

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scientific article; zbMATH DE number 7710545

Language	Label	Description	Also known as
English	Calibrating fractional Vasicek model	scientific article; zbMATH DE number 7710545

Statements

scholarly article

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Calibrating fractional Vasicek model (English)

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publication date

11 July 2023

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zbMATH Keywords

rough fractional stochastic volatility

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fractional Vasicek model

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parameter estimation

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Hurst index

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MaRDI profile type

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full work available at URL

https://doi.org/10.1080/03610926.2021.1994609

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Elliptic Gaussian random processes

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Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

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Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion

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Asymptotic properties of MLE for partially observed fractional diffusion system

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Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

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Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)

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Fractional {O}rnstein-{U}hlenbeck processes

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Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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Long memory in continuous-time stochastic volatility models

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Perfect hedging in rough Heston models

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The characteristic function of rough Heston models

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Volatility is rough

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Zero-intelligence realized variance estimation.

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A closed-form pricing formula for variance swaps under MRG-Vasicek model

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations

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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter

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Quadratic variations and estimation of the local Hölder index of a Gaussian process

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Statistical analysis of the fractional Ornstein--Uhlenbeck type process

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ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL

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Asymptotic theory for rough fractional Vasicek models

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Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

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Identifiers

10.1080/03610926.2021.1994609

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6169355

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