大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Generalized Fractional Long Memory Stochastic Volatility Models and Applications in Finance

Shelton Peiris (School of Mathematics and Statistics, The University of Sydney)

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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第68回

Generalized Fractional Long Memory Stochastic Volatility Models and Applications in Finance

Shelton Peiris (School of Mathematics and Statistics, The University of Sydney)

In recent years, the family of fractionally differenced processes has received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials incorporating both the Long Memory (LM) and Stochastic Volatility (SV) components. The existence and uniqueness of second order solutions will be established. Various new results associated with this class will be reported. A simulation study has been added.

A potential application will be discussed to justify the usefulness of this new class in financial modelling.


http://www.maths.usyd.edu.au/u/shelton/