5 papers
Parameter Estimation for the Mixed Fractional Merton Jump Diffusion Model with EM Algorithm
Chidiogo Joy Agboeke, Hamidreza Maleki Almani, Dario Gasbarra +2
This paper proposes an Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model. The model…
Insights into Tail-Based and Order Statistics
Hamidreza Maleki Almani
Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the…
Hedging in Jump Diffusion Model with Transaction Costs
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed…
Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
Hamidreza Maleki Almani, Tommi Sottinen
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the…
Multi-Mixed Fractional Brownian Motions and Orstein-Uhlenbeck Processes
Hamidreza Maleki Almani, Tommi Sottinen
We study the so-called multi-mixed fractional Brownian motions (mmfBm) and multi-mixed fractional Ornstein--Ulhenbeck (mmfOU) processes. These processes are constructed by mixing b…