Seminarium i matematisk statistik
fredagen den 18 februari 13.15 i MH:227

Boualem Djehiche
Matematisk statistik
Kungliga Tekniska Högskolan

Titel:
Hedging options in market models modulated by fractional
Brownian motion

Abstract:
In this talk, I will discuss a way to derive formulas for the
replicating portfolios for a class of contigent claims in a Black and
Scholes market model modulated by fractional Brownian motion (fBm). An
example of such a model is the case of a geometric Brownian motion whose
volatility (that is the diffusion coefficient) is a function of the fBm
that may depend on the undelying Brownian motion. In other words, the
volatility is not generated by an exogenous source of randomness as is
the case in most volatility models existing in the literature.