Recent publications: 2001 -

Papers published in Journals:

1. A.A. Gushchin and E. Valkeila (2001), On statistical experiments converging to exponential limits, Statistics & Decisions, 19, 173-191, PDF-version .
2. J. Memin, Y. Mishura and E. Valkeila ( 2001), Inequalities for the moments of Wiener integrals with respects to a fractional Brownian motion, Statistics & Probability Letters, 51, 197-206, PDF-file .
3. Y. Mishura and E. Valkeila (2001), Martingale transforms and Girsanov theorem for long-memory Gaussian processes, Statistics & Probability Letters, 55, 421-430.
4. F. Delbain, Y. Kabanov and E. Valkeila (2002), Hedging under transaction costs in currency markets: a discrete-time model, Mathematical Finance, 12, 45-61, PDF-file .
5. K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2002), Information concepts in Filtered experiments , Theory of Probability and Mathematical Statistics, 67, 38-56, PS-file .
6. K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2003), Information processes for semimartingale experiments, Annals of Probability, 31, 216-243, PDF-file .
7. T. Sottinen and E. Valkeila (2003), On arbitrage and replication in the fractional Black-Scholes pricing model ps-file , Statistics & Decisions , 21, 93-107.
8. A. A. Gushchin and E. Valkeila (2003), Approximations and limit theorems for likelihood ratio processes in the binary case , PDF-file Statistics & Decisions , 21, 219-260.
9. A. Kukush, Y. Mishura and E. Valkeila (2005), Statistical inference with fractional Brownian motion , Statistical Inference for Stochastic processes, 8, 71-93.
10. C. Bender, T. Sottinen, and E. Valkeila (2008), Pricing by hedging and no-arbitrage beyond semimartingales pdf . Finance & Stochastics, 12, 441-468.
11. E. Azmoodeh, Y. Mishura, and E. Valkeila (2009), On hedging European options in geometric fractional Brownian mo tion market model. pdf Statistics & Decisions , Vol. 27, 129-143, DOI 10.1524/stnd.2009.1021.
12. Y. Mishura and E. Valkeila (2010). An extension of the Lévy characterization to fractional Brownian motion ArXive. Annals of Probability, forthcoming.
13. E. Azmoodeh, H. Tikanmäki, and E. Valkeila (2010). When does fractional Brownian motion not behave as a continuous function with bounded variation?. ArXive . Statistics & probability letters 80(19-20), 2010.
14. D. Gasbarra, J.I. Morlanes, and E. Valkeila (2010). Initial enlargement in a Markov chain market model , Stochastics and Dynamics, forthcoming.
15. P.V. Gapeev, T. Sottinen, and E. Valkeila (2010). Robust replication in H-self-similar Gaussian market models under uncertainty pdf. London School of Economics, CDAM Research Report LSE-CDAM-2007-28., Statistics & Decisions , forthcoming.

    Papers published in books and conferences:

16. A.A. Gushchin and E. Valkeila (2001), Exponential Approximation of Statistical Experiments, in Asymptotic Methods in Probability and Statistics with Applications (N. Balakrishnan et.al (editors)), Birkhäuser, 409 - 423 PDF-file
17. D. Gasbarra and E. Valkeila (2004), Initial enlargement: a Bayesian approach PDF-file , Theory of Stochastic Processes, 9, 26-37.
18. D. Gasbarra, E. Valkeila , and L. Vostrikova (2006), Enlargement of filtration and additional information in pricing models: a Bayesian approach , pdf file, in From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift (ed.: Y. Kabanov, R. Liptser, and J. Stoyanov), Springer, 257-286.
19. D. Gasbarra, T. Sottinen, and E. Valkeila (2007) Gaussian bridges, Insititute of mathematics, pdf in The 2005 Abel conference. Stochastic Analysis and Applications (ed.: F. E. Benth, G. DiNunno, T. Lindstr{\o}m, B. {\O}ksendal, and T. Zhang), Springer, 361-382.
20. C. Bender, T. Sottinen, and E. Valkeila (2007), Arbitrage with fractional Brownian motion pdf . Theory of Stochastic Processes , 13, 23-34.
21. E. Valkeila (2009). On the approximation of geometric fractional Brownian motion , pdf , in Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift (ed.: F. Delbaen, M. Rásonyi, and C. Stricker)
22. C. Bender, T. Sottinen, and E. Valkeila (2010), Fractional processes as models in stochastic finance , ArXive , To appear: Advanced Mathematical Methods for Finance (Eds. G. Di Nunno and B. Oksendal, in Series in Mathematical Finance, Springer)

    Preprints:

23. T. Sottinen and E. Valkeila (2001), Fractional Brownian motion as a model in finance , Department of Mathematics, Preprint 302, PS-file .
24. E. Azmoodeh, and E. Valkeila (2010). Spectral characterization for the quadratic variation of mixed Brownian fractional Brownian motion ArXive . Submitted.

    Others

25. E. Valkeila (2004), Aika ja sattuman matematiikka virkaanastujaisesitelmä 27.4. 2004 .
26. E. Valkeila (2009), Onko finanssimatematiikka esimerkki kestämättömästä kehityksestä ? Esitelmä TEK:n kestävän kehityksen seminaarissa 19.11. 2009.