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OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
15 references·4 citing·33 second hop
OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (2003)OPTIMAL CONSUMPTION AND PORTFOLIO IN A BL…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)White noise generalizations o…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion (1998)Filtering and parameter estim…Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…On the prediction of fractional Brownian motion (1996)On the prediction of fraction…Itô′s formula with respect to fractional Brownian motion and its application (1996)Itô′s formula with respect to…Stochastic analysis of fractional brownian motions (1995)Stochastic analysis of fracti…On a Generalization of a Stochastic Integral (1976)On a Generalization of a Stoc…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate (2013)The valuation of equity warra…Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions (2012)Maximum Principle for General…Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model (2009)Donsker Type Theorem for the …Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence (2005)Merton's model of optimal por…Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)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)Continuous Martingales and Brownian Motion (1999)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Limit Theorems for Stochastic Processes (2003)Stochastic integration with respect to fractional brownian motion (2003)Long Range Dependence (2004)Stochastic integral (1944)Multiple Wiener Integral (1951)Generalized stochastic integrals and the malliavin calculus (1986)Anticipative calculus for the poisson process based on the fock space (1990)Integration with respect to Fractal Functions and Stochastic Calculus II (2001)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)A General Fractional White Noise Theory And Applications To Finance (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)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)
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Cited by

  • 2009Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model38 cited
  • 2005Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence31 cited
  • 2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate29 cited
  • 2012Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions27 cited