Research Topic

Long-Memory Models in Mathematical Finance

About this Research Topic

In this Research Topic, we study long-memory models in mathematical finance. The classical models for financial time-series, especially those connected to pricing and hedging of financial derivatives, are Markovian or semimartingales. However, in recent 20 years it has been demonstrated that some financial ...

In this Research Topic, we study long-memory models in mathematical finance. The classical models for financial time-series, especially those connected to pricing and hedging of financial derivatives, are Markovian or semimartingales. However, in recent 20 years it has been demonstrated that some financial time-series exhibit so-called long-range dependence. The future data is not statistically independent from the data from the distant past. This is in stark contrast of the Markovian assumption. Also, the long-range dependence does not fit naturally into the semimartingale setting. Therefore, new mathematical models are needed to capture the statistical nature of financial time-series. Furthermore, new mathematical theory is needed to analyze these models.

The aim of the Research Topic is to study existing long-range dependent models, such as the fractional Brownian motions and their generalizations, as well as to propose and study new long-range dependent models.

The scope of the Research Topic includes, but is not limited to:

1. The foundations of mathematical finance such as the theory of arbitrage and hedging and the implications of the existence of long-range dependence to the said foundations.

2. Mathematical foundations of long-range dependent stochastic processes including theories of stochastic integration, prediction and numerical methods.

3. Statistical analysis of long-range dependent models such as parameter estimation and calibration including implied volatility methods.

4. Simulation of long-range dependent models.

5. Empirical studies.


Keywords: mathematical finance, financial engineering, time-series analysis, long-range dependence, stochastic modeling


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Submission Deadlines

30 March 2020 Manuscript

Participating Journals

Manuscripts can be submitted to this Research Topic via the following journals:

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Topic Editors

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Submission Deadlines

30 March 2020 Manuscript

Participating Journals

Manuscripts can be submitted to this Research Topic via the following journals:

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