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Fractional Brownian motion in finance · Study

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ChapterFractional Brownian motion in finance

Unknown author2008

OA

Chaptergreen2008

Fractional Brownian motion in finance

Unknown author

30 citations·0/0 files stored·Probability and its applications

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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References

2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1999Stochastic Analysis of the Fractional Brownian Motion 1997Arbitrage with Fractional Brownian Motion 2000Stochastic Calculus for Fractional Brownian Motion I. Theory 1988Stochastic calculus with anticipating integrands 1999Essentials of Stochastic Finance 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions

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2004Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market

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2004An introduction to white–noise theory and Malliavin calculus for fractional Brownian motionarticle · 9 shared references 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motionchapter · 9 shared references 2007Fractional Brownian motion: stochastic calculus and applicationschapter · 8 shared references 2003Stochastic integration with respect to fractional brownian motionarticle · 7 shared references 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)article · 7 shared references 2003An S-transform approach to integration with respect to a fractional Brownian motionarticle · 7 shared references

Details

Year2008

Typechapter

Published2008-01-01

VenueProbability and its applications

ISSN-L1431-7028

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-84628-797-8_7

openalex_workW2299050396

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