Sökning: "circulant embedding method"

Hittade 1 uppsats innehållade orden circulant embedding method.

  1. 1. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Saeedeh Ostovari; [2021-06-30]
    Nyckelord :fractional Brownian motion; rough stochastic volatility models; circulant embedding method; fractionally integrated process; Realized volatility;

    Sammanfattning : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. LÄS MER