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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

A565

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

A514

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