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An application of wavelet analysis to pricing and hedging derivative securities
An application of wavelet analysis pricing and hedging derivative securities
2009/9/22
This work provides an application of wavelet analysis
to pricing and hedging path-dependent contingent claims within the
framework of the Black-Scholes model.
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
High-frequency data S&P 500 index long range dependence heavy tailed marginals fractional Brownian motion
2010/4/27
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January
1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of
stationarity (the time p...
U.S. Core Inflation: A Wavelet Analysis
core inflation wavelets trend inflation inflation prediction
2011/3/31
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI...