The paper proposes an original class of models for the continuous-time price process of a financial security with nonconstant volatility. The idea is to define instantaneous volatility in terms of exponentially weighted moments of historic log-price. The instantaneous volatility is therefore...

Is there any point to which you would wish to draw my attention? To the curious incident of the investment in the market. The agent did nothing in the market. That was the curious incident. (with apologies to Sir Arthur Conan-Doyle.)In this paper we study an optimal timing problem for the sale...