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...

書誌詳細
第一著者:	Al Haqyan, Mohammed Kamel Mohammed
フォーマット:	学位論文
言語:	英語英語英語
出版事項:	2018
主題:	HG Finance QA Mathematics
オンライン･アクセス:	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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