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Arbitrage with fractional Gaussian processes
16 references·0 citing·31 second hop
Arbitrage with fractional Gaussian processes (2016)Arbitrage with fractional Gaussian proces…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Theory of rational option pricing (2005)Theory of rational option pri…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Fractional Ornstein-Uhlenbeck processes (2003)Fractional Ornstein-Uhlenbeck…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Théorie de la spéculation (1900)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Generalized autoregressive conditional heteroskedasticity (1986)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 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
  • 2003

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Fractional Ornstein-Uhlenbeck processes
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