19 citations · 59 across the 11 of their papers we have counts for
11 papers
A multifractional option pricing formula
Axel A. Araneda
Fractional Brownian motion has become a standard tool to address long-range dependence in financial time series. However, a constant memory parameter is too restrictive to address…
Credit Default Swaps and the mixed-fractional CEV model
Axel A. Araneda
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fr…
Cross-ownership as a structural explanation for rising correlations in crisis times
Nils Bertschinger, Axel A. Araneda
In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed. We relate mathematically the correlati…
Price modelling under generalized fractional Brownian motion
Axel A. Araneda
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion. Here we s…
Asset volatility forecasting:The optimal decay parameter in the EWMA model
Axel A. Araneda
The exponentially weighted moving average (EMWA) could be labeled as a competitive volatility estimator, where its main strength relies on computation simplicity, especially in a m…
The sub-fractional CEV model
Axel A. Araneda, Nils Bertschinger
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate st…