Modeling and pricing financial assets under long memory processes

An important research area in financial mathematics is the study of long memory phenomenon in financial data. Long memory had been known long before suitable stochastic models were developed. Fractional Brownian motion (FBM) can be used to characterize this phenomenon. This thesis examines the use of FBM and its long memory parameter H, from the view point of estimation method, approximation, and numerical performance.

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Year of publication:	2010
Authors:	Misiran, Masnita
Publisher:	Curtin University of Technology, Department of Mathematics and Statistics
Subject:	financial mathematics \| long memory phenomenon \| financial data \| Fractional Brownian motion (FBM) \| estimation method \| approximation \| numerical performance \| stochastic differential equations (SDEs)

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Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Thesis
Language:	English
Source:	BASE

Persistent link: https://www.econbiz.de/10009434846