Baldovin-Stella stochastic volatility process and Wiener process mixtures

Volatility Estimators and the Inverse Range Process in a Random Volatility Random Walk and Wiener Processes

Stochastic Integral with respect to Cylindrical Wiener Process

This paper is devoted to a construction of the stochastic Itô integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The connection of the introduced integral with the integral defined by Walsh [9] is provided as well.

Stochastic Volterra equations driven by cylindrical Wiener process

In this paper, stochastic Volterra equations driven by cylindrical and genuine Wiener process in Hilbert space are investigated. Sufficient conditions for existence of strong solutions are given. The key role is played by convergence of α-times resolvent families.

Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process

Investigation of asymptotic properties of a statistical estimator or of a testing statistic often leads to a linear transformation of a Wiener process that born a Wiener process or a Brownian bridge. Let us recall some typical examples of such transformations. Provided a Wiener process (W(t) , £ > 0) the processes (^W(a • t) ,t > 0), a T-: 0 and (tW(\) , £ > 0) are Wiener processes and (W(t) tW...

Gaussian Process Volatility Model

The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to overfitting. To address these problems we introduce GP-Vol, a novel non-paramet...