32 citations · 100 across the 28 of their papers we have counts for
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math.PR2010
When does fractional Brownian motion not behave as a continuous function with bounded variation?
Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila
If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form a…
q-fin.PR2010★ 2 cited
On the fractional Black-Scholes market with transaction costs
Ehsan Azmoodeh
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with…
math.PR2010
Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion
Ehsan Azmoodeh, Esko Valkeila
Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid…