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math.PR2011
Robust hedging and pathwise calculus
Heikki Tikanmäki
We study the connections of two different pathwise hedging approaches. These approaches are BSV by Bender-Sottinen-Valkeila and CF by Cont-Fournié. We prove that both approaches gi…
math.PR2011
Integral representations of some functionals of fractional Brownian motion
Heikki Tikanmäki
We prove change of variables formulas [Itô formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex…
math.PR2008
Exact Edgeworth expansion for a Lévy process
Heikki J. Tikanmäki
The one dimensional distribution of a Lévy process is not known in general even though its characteristic function is given by the famous Lévy-Khinchine theorem. This article gives…