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dc.contributor.authorDuchon, Jean
dc.contributor.authorRobert, Raoul
dc.contributor.authorVargas, Vincent
dc.date.accessioned2010-02-04T10:33:41Z
dc.date.available2010-02-04T10:33:41Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3249
dc.language.isoenen
dc.subjectRandom measuresen
dc.subjectGaussian processesen
dc.subjectPrediction theoryen
dc.subjectMultifractal processesen
dc.subject.ddc519en
dc.titleForecasting volatility with the multifractal random walk modelen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherInstitut Fourier, Université Grenoble 1;France
dc.description.abstractenWe study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply them to the problem of forecasting volatility and pricing options with the MRW model in the absence of a reliable estimate of the average volatility and T.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol22
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages83-108
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9965.2010.00458.x
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00220402/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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