Mishura: Stochastic Calculus for Fractional Brownian Motion
(Sprache: Englisch)
This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this...
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This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Inhaltsverzeichnis zu „Mishura: Stochastic Calculus for Fractional Brownian Motion “
- Wiener Integration with Respect to Fractional Brownian Motion- Stochastic Integration with Respect to fBm and Related Topics
- Stochastic Differential Equations Involving Fractional Brownian Motion
- Filtering in Systems with Fractional Brownian Noise
- Financial Applications of Fractional Brownian Motion
- Statistical Inference with Fractional Brownian Motion
Bibliographische Angaben
- Autor: Yuliya Mishura
- XVIII, 398 Seiten, Maße: 23,6 x 16 cm, Kartoniert (TB), Englisch
- Herausgegeben: J.- M. Morel Cachan, F.Takens Groningen, B.Teissier Paris
- Verlag: Springer Berlin
- ISBN-10: 3540758720
- ISBN-13: 9783540758723
- Erscheinungsdatum: 30.11.2007
Sprache:
Englisch
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