Modeling and pricing financial assets under long memory processes

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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 o...

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Bibliographic Details
Main Author:	Misiran, Masnita
Format:	Thesis
Language:	English
Published:	Curtin University 2010
Subjects:	stochastic differential equations (SDEs) numerical performance financial mathematics long memory phenomenon Fractional Brownian motion (FBM) financial data approximation estimation method
Online Access:	http://hdl.handle.net/20.500.11937/2549

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