Seminar at SMU Delhi

November 27, 2012 (Tuesday) , 3:30 PM at Webinar
Speaker: Ananya Lahiri, Chennai Mathematical Institute
Title: Integrated volatility estimation for a finance model with fractional Brownian motion
Abstract of Talk
In recent past, to capture long range dependence of stock price in reality, fractional Brownian motion (FBM) has been introduced as a replacement of Brownian motion (BM) for modelling the same. Integrated volatility (IV), which appears in different finance studies, plays an important role as a measure of variability of the data. The common practice of estimating IV is from sum of frequently sampled squared data, in case of BM setup. In present case we are interested to find some similar result for FBM setup, find the estimate and study its properties.