Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Modeling and Pricing of Variance and Volatility Swaps for Stochastic Volatilities Driven by Fractional Brownian Motion
Submitted by jlongwor on Thu, 03/25/2010 - 1:40pm.
Apr 1 2010 - 12:20pm
Speaker:
Anatoliy Swishchuk
Location:
MS 325In this talk, we study financial markets with stochastic volatilities driven by fractional Brownian motion with Hurst index H>1/2. Our models include fractional versions of Ornstein-Uhlenbeck, Vasicek, geometric Brownian motion and continuous-time GARCH models. We price variance and volatility swaps for above-mentioned models. (Joint work with Yu. Mishura)