Department of Mathematics and Systems Analysis


Research reports by Ehsan Azmoodeh

Here are the reports authored by Ehsan Azmoodeh. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

Ehsan Azmoodeh
Riemann-Stieltjes integrals with respect to fractional Brownian motion and applications   [pdf][ps]
Received 2010-09-06 * fractional Brownian motion, pathwise stochastic integral, quadratic variation, functions of bounded variation, arbitrage, pricing by hedging, approximative hedging, proportional transaction costs * AMS 60G15, 60H05, 62M15, 91B28, 91B70 * 98 pages
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

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