Maria Mariani

University of Texas at El Paso

500 West University

El Paso, TX TX 79968-0545

United States

SCHOLARLY PAPERS

3

DOWNLOADS

91

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data

Physica A, 389(8), April 2010, pp 1653-1664
Number of pages: 12 Posted: 26 May 2012 Last Revised: 23 Mar 2018
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University
Downloads 91 (282,021)

Abstract:

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EAFE Index, International stock market indices, Detrended fluctuation analysis, R/S Analysis

2.

Solutions to Integro-Differential Parabolic Problems Arising in the Pricing of Financial Options in a Levy Market

Electronic Journal of Differential Equations, Vol. 2010 (2010), No. 62, pp. 1-10
Posted: 06 Jan 2016 Last Revised: 23 Mar 2018
Ionut Florescu and Maria Mariani
Stevens Institute of Technology and University of Texas at El Paso

Abstract:

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Integro-differential parabolic equations; financial mathematics; Levy markets; jumps processes; stochastic volatility

3.

Study of Memory Effects in International Market Indices

M.C. Mariani, I. Florescu, M.P. Beccar Varela, E. Ncheuguim, Study of memory effects in international market indices, Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 8, 15 April 2010, Pages 1653-1664, ISSN 0378-4371
Posted: 06 Jan 2016 Last Revised: 23 Mar 2018
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University

Abstract:

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EAFE index; International stock market indices; Detrended fluctuation analysis; R/S analysis