Defence of dissertation in the field of mathematics, Lic.Sc. (Tech.) Heikki Tikanmäki
01.06.2012 / 12:00
Lic.Sc. (Tech.) Heikki Tikanmäki will defend the dissertation “Fractional processes, pathwise stochastic analysis and finance” on 1 June 2012. The thesis considers fractional stochastic processes. These processes are interesting, among other things, because they can be used for modeling dependence structures evolving in time. The distributional properties of fractional Lévy processes as well as hedging of options in fractional pricing models are studied.
Opponent: Professor José Manuel Corcuera, Universitat de Barcelona, Spain
Supervising Professor: Professor Esko Valkeila, Aalto University School of Science, Department of Mathematics and Systems Analysis
Electronic dissertation: http://lib.tkk.fi/Diss