Tid: 26 november 2007 kl 15.15-17.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Professor Esko Valkeila, Helsinki University of Technology
Titel: Fractional Brownian motion as a model in stochastic finance
Sammanfattning: Geometric Brownian motion is a classical model in finance. Fractional Brownian motions are a family of Gaussian processes, and standard Brownian motion belongs to this family. The FBm family allows to model memory with an additional parameter. This is an attractive property concerning the pricing modes in finance, too. But if one replaces geometric Brownian motion by geometric fractional Brownian motion in pricing models, then one has difficulties with the arbitrage pricing axiom. In the talk I will give some new viewpoints concerning these difficulties.
Most of the talk is based on my recent work with C. Bender (Braunschweig), P. V. Gapeev (LSE), and T. Sottinen (Reykjavik).