19 citations · 59 across the 11 of their papers we have counts for
6 papers · 1 filter
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…
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…
The fractional and mixed-fractional CEV model
Axel A. Araneda
The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the on…