By Yuliya Mishura
This quantity examines the speculation of fractional Brownian movement and different long-memory procedures. fascinating subject matters for PhD scholars and experts in chance concept, stochastic research and monetary arithmetic exhibit the fashionable point of this box. It proves that the marketplace with inventory guided through the combined version is arbitrage-free with none restrict at the dependence of the elements and deduces assorted types of the Black-Scholes equation for fractional market.
Read or Download Stochastic Calculus for Fractional Brownian Motion and Related Processes (Lecture Notes in Mathematics) PDF
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Additional resources for Stochastic Calculus for Fractional Brownian Motion and Related Processes (Lecture Notes in Mathematics)
Stochastic Calculus for Fractional Brownian Motion and Related Processes (Lecture Notes in Mathematics) by Yuliya Mishura