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Fractional Brownian motion in finance
16 references·1 citing·32 second hop
Fractional Brownian motion in finance (2008)Fractional Brownian motion in financeThe Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…A note on Wick products and the fractional Black-Scholes model (2005)A note on Wick products and t…Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with r…Stochastic integration with respect to fractional Brownian motion and applications (2003)Stochastic integration with r…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 continuous finite quadratic variation processes (2000)Stochastic calculus with resp…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…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market (2004)Arbitrage in a Discrete Versi…Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)On bifractional Brownian motion (2005)Brownian Motion and Stochastic Calculus (2007)Differential Equations Driven by Rough Paths (2007)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)Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)A generalized clark representation formula, with application to optimal portfolios (1991)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Fractional Brownian Motions, Fractional Noises and Applications (1968)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Limit Theorems for Stochastic Processes (2003)Long Range Dependence (2004)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)A note on the use of fractional Brownian motion for financial modeling (2012)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)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)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

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  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
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  • 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

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  • 2003Stochastic integration with respect to fractional Brownian motion and applications121 cited
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    • 2004Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market29 cited