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Financial mathematics

Mišura, Julija S. - 2016

Persistent link: https://www.econbiz.de/10011413637

On pricing and hedging in financial markets with long-range dependence

Melʹnikov, Aleksandr V.; Mišura, Julija S. - In: Mathematics and financial economics 5 (2011) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10009160243

On stocks and interest rates modeling in long-range dependent environment

Melnikov, Alexander; Mišura, Julija S. - In: Risk and decision analysis 5 (2014) 4, pp. 177-187

Persistent link: https://www.econbiz.de/10011286251

On mean-variance hedging under partial observations and terminal wealth constraints

Makogin, Vitalii; Melʹnikov, Aleksandr V.; Mišura, … - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-21

Persistent link: https://www.econbiz.de/10011734050

Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model

Mišura, Julija S.; Yurchenko-Tytarenko, Anton - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-36

Persistent link: https://www.econbiz.de/10012496732

General conditions of weak convergence of discrete-time multiplicative scheme to asset price with memory

Mišura, Julija S.; Ralchenko, Kostiantyn; Shklyar, S. V. - In: Risks : open access journal 8 (2020) 1/11, pp. 1-29

We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with memory in the space D [ 0,T ]. Then we investigate the convergence of the related multiplicative scheme to a process that can be interpreted as an asset price with memory. As an...

Persistent link: https://www.econbiz.de/10012204032

Pricing by hedging and no-arbitrage beyond semimartingales

Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468

Persistent link: https://www.econbiz.de/10003899260

Fractional processes as models in stochastic finance

Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Advanced mathematical methods for finance, (pp. 75-103). 2011

Persistent link: https://www.econbiz.de/10008991326

Enlargement of filtration and additional information in pricing models : Bayesian approach

Gasbarra, Dario; Valkeila, Esko; Vostrikova, Lioudmilla - In: From stochastic calculus to mathematical finance : the …, (pp. 257-285). 2006

Persistent link: https://www.econbiz.de/10003287165