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