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Divisible skylines : exploring least common multiples and divisibility through visual art
(Tessellations Publishing, 2019)
- conferenceObject
We present an alternative way to consider number theoretic concepts through visual art. Our visualization method, Divisible Skylines, is an artistically motivated study of least common multiples. It demonstrates how beauty ...
Conditional-mean hedging under transaction costs in Gaussian models
(World Scientific Publishing Company, 2018-04-02)
- article
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian ...
Transfer Principle for nth order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law
(2018)
- article
The n-th order fractional Brownian motion was introduced by Perrin et al. [13]. It is the (up to a multiplicative constant) unique self-similar Gaussian process with the Hurst index H∈(n-1,n), having n-th order stationary ...
Hedging in fractional Black-Scholes model with transaction costs
(Elsevier, 2017-11-01)
- article
We consider conditional-mean hedging in a fractional Black–Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the ...
Yukawa Potential, Panharmonic Measure and Brownian Motion
(MDPI, 2018-05-01)
- article
This paper continues our earlier investigation, where a walk-on-spheres (WOS) algorithm for Monte Carlo simulation of the solutions of the Yukawa and the Helmholtz partial differential equations (PDEs) was developed by ...
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
(Taylor & Francis, 2020-05-30)
- article
Mixed fractional Brownian motion is a linear combination of Brownian motion and independent Fractional Brownian motion that is extensively used for option pricing. The consideration of the mixed process is able to capture ...