Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion. New results obtained by the author are presen...

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Bibliographic Details
Main Author: Morlanes, José Igor
Format: Doctoral Thesis
Language:English
Published: Stockholms universitet, Statistiska institutionen 2017
Subjects:
fractional Ornstein-Uhlenbeck process
insider information
simulation embedding method
jump times
least-squares estimator
likelihood process
Ito calculus
Malliavin calculus
stochastic calculus
Probability Theory and Statistics
Sannolikhetsteori och statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-147437
http://nbn-resolving.de/urn:isbn:978-91-7649-994-8
http://nbn-resolving.de/urn:isbn:978-91-7649-995-5

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-147437
http://nbn-resolving.de/urn:isbn:978-91-7649-994-8
http://nbn-resolving.de/urn:isbn:978-91-7649-995-5

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