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A General Fractional White Noise Theory And Applications To Finance
7 references·16 citing·32 second hop
A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White Noise Theory A…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…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…A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)A Practical Guide to Heavy Ta…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Multiple Wiener Integral (1951)Multiple Wiener IntegralAsymptotic Behavior of the Fractional Heston Model (2018)Asymptotic Behavior of the Fr…Pricing currency options in the mixed fractional Brownian motion (2013)Pricing currency options in t…MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)MULTIFRACTIONAL STOCHASTIC VO…Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm (2012)Pricing model for equity warr…A note on the use of fractional Brownian motion for financial modeling (2012)A note on the use of fraction…Pricing currency options in a fractional Brownian motion with jumps (2010)Pricing currency options in a…The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion (2008)The rate of convergence for E…Wavelet entropy of stochastic processes (2007)Wavelet entropy of stochastic…Fractional Brownian motion: stochastic calculus and applications (2007)Fractional Brownian motion: s…Arbitrage with fractional Brownian motion (2007)Arbitrage with fractional Bro…Persistence characteristics of the Chinese stock markets (2006)Persistence characteristics o…Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997 (2004)Wavelet multiresolution analy…ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS (2004)ESTIMATING THE FRACTAL DIMENS…An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)An introduction to white–nois…On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)On arbitrage‐free pricing of …A stochastic maximum principle for processes driven by fractional Brownian motion (2002)A stochastic maximum principl…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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractals and Scaling in Finance (1997)An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)Lévy driven moving averages and semimartingales (2009)Pricing weather derivatives by marginal value (2001)Dynamical pricing of weather derivatives (2002)Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion (2008)The Implied Market Price of Weather Risk (2011)Exploring the financial risk of a temperature index: a fractional integrated approach (2018)A general version of the fundamental theorem of asset pricing (1994)A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (2016)Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading (2020)Geometric fractional Brownian motion model for commodity market simulation (2020)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)The arbitrage theory of capital asset pricing (1976)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Separating microstructure noise from volatility (2005)Parametric and Nonparametric Volatility Measurement (2010)Stochastic Calculus with Respect to Gaussian Processes (2001)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)Extreme Value Theory as a Risk Management Tool (1999)Estimation and interpretation of 1/fα noise in human cognition (2004)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Stochastic integration with respect to the fractional Brownian motion (2003)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)
this work references cited by second hop

References

  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 1951Multiple Wiener Integral699 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1999A Practical Guide to Heavy Tails: Statistical Techniques and Applications639 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited

Cited by

  • 2012A note on the use of fractional Brownian motion for financial modeling106 cited
  • 2004An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion104 cited
  • 2003On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion85 cited
  • 2013MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS84 cited
  • 2007Wavelet entropy of stochastic processes82 cited
  • 2008The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion81 cited
  • 2010Pricing currency options in a fractional Brownian motion with jumps77 cited

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2004
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
76 cited
  • 2013Pricing currency options in the mixed fractional Brownian motion74 cited
  • 2006Persistence characteristics of the Chinese stock markets72 cited
  • 2004Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 199770 cited
  • 2002A stochastic maximum principle for processes driven by fractional Brownian motion68 cited
  • 2007Fractional Brownian motion: stochastic calculus and applications66 cited
  • 2018Asymptotic Behavior of the Fractional Heston Model63 cited
  • 2012Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm61 cited
  • 2007Arbitrage with fractional Brownian motion61 cited