64 citations · 320 across the 79 of their papers we have counts for
9 papers · 1 filter
New and refined bounds for expected maxima of fractional Brownian motion
Konstantin Borovkov, Yuliya Mishura, Alexander Novikov +1
For the fractional Brownian motion with the Hurst parameter value in (0,1/2), we derive new upper and lower bounds for the difference between the expectations of the maxi…
Maximum likelihood drift estimation for Gaussian process with stationary increments
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
The paper deals with the regression model , , where is a centered Gaussian process with stationary increments. We study the estima…
Fractional calculus and path-wise integration for Volterra processes driven by Lévy and martingale noise
Giulia Di Nunno, Yuliya Mishura, Konstiantyn Ralchenko
We introduce a pathwise integration for Volterra processes driven by Lévy noise or martingale noise. These processes are widely used in applications to turbulence, signal processes…
Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
S. Kuchuk-Iatsenko, Y. Mishura, Y. Munchak
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We s…
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
Viktor Bezborodov, Luca Di Persio, Yuliya Mishura
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework cha…
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
Alexander Kukush, Yuliya Mishura, Kostiantyn Ralchenko
We consider the fractional Ornstein-Uhlenbeck process with an unknown drift parameter and known Hurst parameter . We propose a new method to test the hypothesis of the sign of t…