02 - An estimator for the quadratic variation of mixed Brownian fractional - Esko VALKEILA
Description
In the work (Bender, T. Sottinen, and E. Valkeila (2006)) we show that it is possible to extend the classical Black & Scholes hedging for a class of models, where the quadratic variation is identical to the Black & Scholes model. Dzhaparidze and Spreij show in (K. Dzhaparidze, and P. Spreij (1994)), that the periodogram constructed from the process estimates the quadratic variation in the semimartingale setting.We show that the periodogram estimates the quadratic variation for the mixed Brownian fractional Brownian motion, too.The talk is based on joint with Ehsan Azmoodeh. Esko VALKEILA. Helsinky University of Technology. Document associé : support de présentation : http://epi.univ-paris1.fr/servlet/com.univ.collaboratif.utils.LectureFichiergw?CODE_FICHIER=1207750279333 (pdf) Ecouter l'intervention : Bande son disponible au format mp3 Durée : 41 mn
Jean Jacod. Université Paris6. Document associé : support de présentation : http://epi.univ-paris1.fr/servlet/com.univ.collaboratif.utils.LectureFichiergw?CODE_FICHIER=1265816883468 (pdf) Ecouter l'intervention : Bande son disponible au format mp3 Durée : 51 mn
Published 01/13/08
In this paper, we give estimates of ideal or minimal distances between the distribution of the normalized partial sum and the limiting Gaussian distribution for stationary martingale difference sequences or stationary sequences satisfying projective criteria. Applications to functions of linear...
Published 01/12/08