Department of Mathematics and Systems Analysis


Research reports by Esko Valkeila

Here are the reports authored by Esko Valkeila. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

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
Esko Valkeila
On the approximation of geometric fractional Brownian motion   [pdf][ps] abstract: [pdf][ps]
Received 2007-10-29 * Arbitrage, geometric fractional Brownian motion, approximation * AMS 60F17, 60H99, 91B28 * 17 pages
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
Dario Gasbarra, Tommi Sottinen, Esko Valkeila
Gaussian bridges   [pdf][ps] abstract: [pdf][ps]
Received 2004-12-31 * Gaussian processes, Brownian bridge, pinned Gaussian processes, tied down Gaussian process, enlargement of filtration, fractional Brownian motion, fractional Brownian bridge * AMS 60G15, 60G18, 60G25, 60G44 * 24 pages
Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova
Enlargement of filtration and additional information in pricing models: a Bayesian approach   [pdf][ps] abstract: [pdf][ps]
Received 2004-10-22 * dynamical Bayesian modelling, enlargement of filtration, asymmetric information, Levy processes * AMS 60G44, 91B28, 62B10 * 30 pages

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