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Fractional stochastic differential equations with applications to finance
13 references·0 citing·32 second hop
Fractional stochastic differential equations with applications to finance (2012)Fractional stochastic differential equati…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) (2005)Stochastic integral of diverg…Theory and applications of long-range dependence (2003)Theory and applications of lo…Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with r…Differential equations driven by fractional Brownian motion (2002)Differential equations driven…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Stochastic calculus with respect to continuous finite quadratic variation processes (2000)Stochastic calculus with resp…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Stochastic analysis of fractional brownian motions (1995)Stochastic analysis of fracti…Forward, backward and symmetric stochastic integration (1993)Forward, backward and symmetr…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Differential equations driven by rough signals (1998)Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2008)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)Calcul Stochastique et Problèmes de Martingales (1979)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)The Malliavin Calculus and Related Topics (1995)Stochastic Integration and Differential Equations (2005)Affine fractional stochastic volatility models (2010)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)Brownian Motion and Stochastic Calculus (2007)Volatility Is Rough (2018)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)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)Stochastic evolution equations with fractional Brownian motion (2003)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)Hybrid scheme for Brownian semistationary processes (2017)Statistical inference for SPDEs: an overview (2018)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2002Differential equations driven by fractional Brownian motion408 cited
  • 1993Forward, backward and symmetric stochastic integration318 cited
  • 2003Stochastic integration with respect to fractional brownian motion230 cited
  • 1995Stochastic analysis of fractional brownian motions207 cited
  • 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)133 cited
  • 2000Stochastic calculus with respect to continuous finite quadratic variation processes132 cited

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