Joachim Yaakov Nahmani

Independent

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS

254

CITATIONS

0

Scholarly Papers (3)

1.

Hedge Funds' NAV Modeling Using Extreme Value and Lévy Copulas Techniques with Application to Securitization

Number of pages: 132 Posted: 20 Jun 2012 Last Revised: 16 Oct 2012
Joachim Yaakov Nahmani
Independent
Downloads 87 (204,410)

Abstract:

lévy processes, lévy copulas, archimedean copulas, clayton copulas, extreme value theory, securitization, hedge funds

2.

Stochastic Integration with Respect to Fractional Brownian Motion

Number of pages: 114 Posted: 25 Jun 2012
Joachim Yaakov Nahmani
Independent
Downloads 60 (236,247)

Abstract:

Stochastic Calculus, Fractional Brownian Motion, Semimartingales, Reproducing Kernel Hilbert Spaces

3.

A Short Overview on Limit Theorems and Microstructure Noise Modeling for (Ultra) High Frequency Data

Number of pages: 37 Posted: 20 Jun 2012 Last Revised: 06 Dec 2012
Joachim Yaakov Nahmani
Independent
Downloads 38 (308,526)

Abstract:

high frequency, volatility estimation, noise modeling, microstructure noise, limit theorems, stochastic calculus