Mishari Al-Foraih

activity

20202023

collaborators

3 papers

q-fin.MF2023

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach

Mishari Al-Foraih, Òscar Burés, Jan Pospíšil +1

Using Malliavin calculus techniques, we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. Due to the fact that underlying prices are…

math.ST2022

Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency

Khalifa Es-Sebaiy, Fares Alazemi, Mishari Al-Foraih

This paper deals with the rate of convergence for the central limit theorem of estimators of the drift coefficient, denoted $θ$ , for a Ornstein-Uhlenbeck process $X \coloneqq \{X_t…

math.PR2020

Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters

Abdulaziz Alsenafi, Mishari Al-Foraih, Khalifa Es-Sebaiy

Let $B^{a, b} := {B_{t}^{a, b}, t \geq 0}$ be a weighted fractional Brownian motion of parameters $a > - 1$ , $∣ b ∣ < 1$ , $∣ b ∣ < a + 1$ . We consider a least square-type method to estimate the drift…