Sökning: "José Igor Morlanes"

Hittade 1 avhandling innehållade orden José Igor Morlanes.

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

   Författare :José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

   Sammanfattning : 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 presented in five articles. LÄS MER