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The fractional volatility model: No-arbitrage, leverage and completeness
Fractional noise Arbitrage Incomplete market
2012/6/4
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...
Spiraling toward market completeness and financial instability
Spiraling completeness financial instability
2010/11/1
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption.This exercise shows that, even...