You have just completed your registration at OpenAire.
Before you can login to the site, you will need to activate your account.
An e-mail will be sent to you with the proper instructions.
Important!
Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version
of the site upon release.
We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.
We study the linear filtering problem for systems driven by continuous Gaussian processes with memory described by two parameters. The driving processes have the virtue that they possess stationary increments and simple semimartingale representations simultaneously. It allows for straightforward parameter estimations. After giving the semimartingale representations of the processes by innovation theory, we derive Kalman-Bucy-type filtering equations for the systems. We apply the result to the...
No project research data found
No project statistics found
Scientific Results
Chart is loading... It may take a bit of time. Please be patient and don't reload the page.
PUBLICATIONS BY ACCESS MODE
Chart is loading... It may take a bit of time. Please be patient and don't reload the page.
Publications in Repositories
Chart is loading... It may take a bit of time. Please be patient and don't reload the page.