Modeling financial environments using geometric fractional Brownian motion model with long memory stochastic volatility

Geometric Fractional Brownian Motion (GFBM) model is widely used in financial environments. This model consists of important parameters i.e. mean, volatility, and Hurst index, which are significant to many problems in finance particularly option pricing, value at risk, exchange rate, and mortgage in...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखक:	Al Haqyan, Mohammed Kamel Mohammed
स्वरूप:	थीसिस
भाषा:	अंग्रेज़ी अंग्रेज़ी अंग्रेज़ी
प्रकाशित:	2018
विषय:	HG Finance QA Mathematics
ऑनलाइन पहुंच:	https://etd.uum.edu.my/6895/1/DepositPermission_s93750.pdf https://etd.uum.edu.my/6895/2/s93750_01.pdf https://etd.uum.edu.my/6895/3/s93750_02.pdf

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