Long-range dependence and non-semimartingale models in finance

Host Institution:

La Trobe University

Title of Seminar:

Long-range dependence and non-semimartingale models in finance

Speaker's Name:

Prof. Yu. Mishura

Speaker's Institution:

Kyiv National University, Ukraine

Time and Date:

Friday 26 November 2010 at 11:00 am AEST

Seminar Abstract:

We consider the model of financial market that admits long-range dependence, or, in other words, has long memory. Long memory component is modelled with the help of fractional Brownian motio

We establish non-arbitrage property of such model and the conditions of equilibrium of the market. Fractional version of Girsanov theorem is used as a tool. The problem of quantile hedging is studied.

Seminar Convenor:

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AGR IT support:

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