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

A590: 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
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

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