Stochastic Volatility and Multifractional Brownian Motion

DOI10.1007/978-3-642-22368-6_6zbMath1247.91205OpenAlexW2217401567MaRDI QIDQ2914791

Antoine Ayache, Qidi Peng

Publication date: 21 September 2012

Published in: Stochastic Differential Equations and Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22368-6_6

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Sandwiched SDEs with unbounded drift driven by Hölder noises

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