Yuliia Mishura: Fractional Cox-Ingersoll-Ross process and its applications to financial markets.

Yuliia Mishura (Taras Shevchenko National University of Kyiv) gives a lecture with the title: Fractional Cox-Ingersoll-Ross process and its applications to financial markets.

Time and place: May 30, 2018 10:30 AM – 11:00 AM, Gates of Eden, Ullevål stadion (Sognsveien 77 B, 2nd floor)

Abstract

We consider fractional Cox-Ingersoll-Ross process as the square root of the solution of fractional Cox-Ingersoll-Ross equation. Existence of such equation is proved for the integral w.r.t. fBm considered as Stratonovich integral. Properties of the solution and financial applications are discussed.

Published May 24, 2018 1:34 PM - Last modified May 24, 2018 1:34 PM