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

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
A535: 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
A514: 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
A481: 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
A476: 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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