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(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2004)
We consider the forward integral with respect to fractional Brownian motion B(H)(t) and relate this to the Wick-Itô-Skorohod integral by using the M-operator introduced by [10] and the Malliavin derivative DHt. Using this ...
(Research report / Forskningsrapport, 2002)
We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by [DHP] in the 1-dimensional case. We prove a multi-dimensional Itô type isometry for ...
(Research report / Forskningsrapport, 2004)
In this paper we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We ...
(Research report / Forskningsrapport, 2003)
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