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math.PR2019
Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
C. Vardar-Acar, M. Caglar, F. Avram
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an i…
math.PR2013★ 1 cited
Bounds on the Expected Value of Maximum Loss of Fractional Brownian Motion
Ceren Vardar, Hatice Cakar
In this study, it is theoretically proven that the expected value of maximum loss of fractional Brownian motion (fBm) up to time 1 with Hurst parameter is bounded above b…
math.PR2012★ 2 cited
Distribution of Maximum Loss for Fractional Brownian Motion
Mine Caglar, Ceren Vardar
In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter The Black-Scholes model for the values of returns of a…