Multifractional stochastic volatility models
Year of publication: |
2014
|
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Authors: | Corlay, Sylvain ; Lebovits, Joachim ; Lévy Véhel, Jacques |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 2, p. 364-402
|
Subject: | Hull & White model | functional quantization | vector quantization | Karhunen-Loève | Gaussian process | fractional Brownian motion | multifractional Brownian motion | white noise theory | S-transform | Wick-Itô integral | stochastic differential equations | Stochastischer Prozess | Stochastic process | Theorie | Theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Analysis | Mathematical analysis |
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