Department of Mathematics

Probability

  •  A Martingale Approach for Fractional Brownian Motions
  •  03/30/2017
  •  3:00 PM - 3:50 PM
  •  C405 Wells Hall
  •  Jianfeng Zhang, University of Southern California

Empirical studies show that the volatilities could be rough, which typically go beyond the semimartinagle framework and the fractional Brownian Motion (fBM) becomes a natural tool. Compared with BM, fBM has two features: (i) non-Markoivan; (ii) non-semimartingale (when the Hurst parameter $H< {1\over 2}$). We shall show that the recent development of path dependent PDEs provides a convenient tool to extend the standard literature of pricing/hedging derivatives to an fBM framework. This is a joint work with Frederi Viens.

 

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Department of Mathematics
Michigan State University
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