One model of risky asset described by Gaussian martingale

Author: Zaza Khechinashvili
Co-authors: Omar Glonti
Keywords: Financial time series, Gaussian martingale, forecasting.
Annotation:

The model of risky asset price evolution driven by Gaussian martingale is considered. Some important properties of real financial time series for this model are proved.Optimal in the mean square sense forecasting formulas are obtained.

Lecture files:

One model of risky asset price evolution described by Gaussian martingale [en]
გაუსის მარტინგალით აღწერილი რისკიანი აქტივის ფასის ევოლუციის მოდელი [ka]