Department of Mathematics and Systems Analysis


Research reports by Yulia Mishura

Here are the reports authored by Yulia Mishura. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

Ehsan Azmoodeh, Yulia Mishura, Esko Valkeila
On hedging European options in geometric fractional Brownian motion market model   [pdf][ps]
Received 2009-02-10 * arbitrage, pricing by hedging, geometric fractional Brownian motion, stochastic integrals * AMS 91B28, 91B70, 60G15, 60H05 * 16 pages
Yulia Mishura, Esko Valkeila
An extension of the Lévy characterization to fractional Brownian motion   [pdf][ps] abstract: [pdf][ps]
Received 2006-12-05 * fractional Brownian motion, Lévy theorem * AMS 60G15, 60E05, 60H99 * 24 pages

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