SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
16 references·10 citing·36 second hop
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)An introduction to white–noise theory and…Stochastic partial differential equations (2020)Stochastic partial differenti…An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)An Itô formula for generalize…A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Dynamical pricing of weather derivatives (2002)Dynamical pricing of weather …Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Fractional Brownian motion, random walks and binary market models (2001)Fractional Brownian motion, r…White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)White noise generalizations o…Stochastic calculus with respect to continuous finite quadratic variation processes (2000)Stochastic calculus with resp…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…ESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Fractals and Scaling in Finan…Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)MULTIFRACTIONAL STOCHASTIC VO…Almost sure and moment stability properties of fractional order Black-Scholes model (2013)Almost sure and moment stabil…On the characteristics of a class of Gaussian processes within the white noise space setting (2010)On the characteristics of a c…Lévy driven moving averages and semimartingales (2009)Lévy driven moving averages a…Stochastic calculus for convoluted Lévy processes (2008)Stochastic calculus for convo…Fractional Brownian motion in finance (2008)Fractional Brownian motion in…Integration by parts formula for locally smooth laws and applications to sensitivity computations (2007)Integration by parts formula …An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)An Introduction to (Stochasti…The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application (2006)The Fractional Ornstein-Uhlen…An S-transform approach to integration with respect to a fractional Brownian motion (2003)An S-transform approach to in…Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Stochastic integration with respect to fractional brownian motion (2003)Brownian Motion and Stochastic Calculus (2007)Differential Equations Driven by Rough Paths (2007)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)The Distribution of Exchange Rate Volatility (1999)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Multiple Wiener Integral (1951)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Stochastic Analysis of the Fractional Brownian Motion (1999)On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)A note on the use of fractional Brownian motion for financial modeling (2012)The Malliavin Calculus and Related Topics (1995)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)The Malliavin Calculus and Related Topics (2006)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)”Direct” causal cascade in the stock market (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)The cumulant process and Esscher's change of measure (2002)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Option pricing and Esscher transform under regime switching (2005)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)The politics of attention: how government prioritizes problems (2006)Power Laws in Economics and Finance (2009)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 1998Fractals and Scaling in Finance: Discontinuity, Concentration, Risk418 cited
  • 1999Essentials of Stochastic Finance412 cited
  • 2002Stochastic analysis, rough path analysis and fractional Brownian motions317 cited
  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 2002Dynamical pricing of weather derivatives221 cited
  • 2020Stochastic partial differential equations216 cited
  • 2001Fractional Brownian motion, random walks and binary market models188 cited
  • 2003An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter132 cited
  • 2000Stochastic calculus with respect to continuous finite quadratic variation processes132 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2000
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
131 cited

Cited by

  • 2013MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS84 cited
  • 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion65 cited
  • 2003An S-transform approach to integration with respect to a fractional Brownian motion53 cited
  • 2009Lévy driven moving averages and semimartingales53 cited
  • 2007Integration by parts formula for locally smooth laws and applications to sensitivity computations44 cited
  • 2013Almost sure and moment stability properties of fractional order Black-Scholes model31 cited
  • 2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application31 cited
  • 2008Fractional Brownian motion in finance30 cited
  • 2010On the characteristics of a class of Gaussian processes within the white noise space setting29 cited
  • 2008Stochastic calculus for convoluted Lévy processes27 cited