12 citations · 13 across the 3 of their papers we have counts for
3 papers · 1 filter
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik +2
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predi…
Pricing derivatives in Hermite markets
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik +1
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermi…
Pricing Derivatives in Hermite Markets
Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financi…