Statistical inference for fractional diffusion processes
BLSP Rao - 2011 - books.google.com
Stochastic processes are widely used for model building in the social, physical, engineering
and life sciences as well as in financial economics. In model building, statistical inference for …
and life sciences as well as in financial economics. In model building, statistical inference for …
[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
[PDF][PDF] Stochastic integration with respect to fractional Brownian motion
For every value of the Hurst index H∈(0, 1) we define a stochastic integral with respect to
fractional Brownian motion of index H. We do so by approximating fractional Brownian …
fractional Brownian motion of index H. We do so by approximating fractional Brownian …
A note on the use of fractional Brownian motion for financial modeling
S Rostek, R Schöbel - Economic Modelling, 2013 - Elsevier
In the second part of the past decade, the usage of fractional Brownian motion for financial
models was stuck. The favorable time-series properties of fractional Brownian motion …
models was stuck. The favorable time-series properties of fractional Brownian motion …
Multifractional stochastic volatility models
The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a
relevant model in financial mathematics. mBm is an extension of fractional Brownian motion …
relevant model in financial mathematics. mBm is an extension of fractional Brownian motion …
Pricing currency options in a fractional Brownian motion with jumps
WL Xiao, WG Zhang, XL Zhang, YL Wang - Economic Modelling, 2010 - Elsevier
A new framework for pricing the European currency option is developed in the case where
the spot exchange rate fellows a fractional Brownian motion with jumps. An analytic formula …
the spot exchange rate fellows a fractional Brownian motion with jumps. An analytic formula …
[图书][B] Option pricing in fractional Brownian markets
S Rostek - 2009 - books.google.com
Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious
model for the dynamics of? nancial price data, which allows for dependence between …
model for the dynamics of? nancial price data, which allows for dependence between …
Forecasting with fractional Brownian motion: a financial perspective
M Garcin - Quantitative finance, 2022 - Taylor & Francis
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing
some dependence between non-overlapping increments. Consequently, if one considers for …
some dependence between non-overlapping increments. Consequently, if one considers for …
[HTML][HTML] Multiscaling and rough volatility: An empirical investigation
G Brandi, T Di Matteo - International Review of Financial Analysis, 2022 - Elsevier
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a
modelling approach is known not to be able to reproduce some of the financial stylised facts …
modelling approach is known not to be able to reproduce some of the financial stylised facts …