Affine representations of fractional processes with applications in mathematical finance

Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and practical difficulties in computation and calibration. To addr...

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Veröffentlicht in:	arXiv.org 2018-02
Hauptverfasser:	Harms, Philipp, Stefanovits, David
Format:	Artikel
Sprache:	eng
Schlagworte:	Dependence Representations
Online-Zugang:	Volltext
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