The following pages link to (Q3396055):
Displaying 38 items.
- Strong asymptotic arbitrage in the large fractional binary market (Q253102) (← links)
- Benoît Mandelbrot and fractional Brownian motion (Q254347) (← links)
- Gaussian copula time series with heavy tails and strong time dependence (Q255760) (← links)
- Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271) (← links)
- Long memory in a linear stochastic Volterra differential equation (Q536288) (← links)
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
- Asymptotic proportion of arbitrage points in fractional binary markets (Q901293) (← links)
- On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory (Q963108) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- On the Mittag-Leffler stability of impulsive fractional solow-type models (Q1662349) (← links)
- Price dynamics in an order-driven market with Bayesian learning (Q1723051) (← links)
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751) (← links)
- Rough homogenisation with fractional dynamics (Q2107412) (← links)
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective (Q2288938) (← links)
- A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds (Q2309261) (← links)
- An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost (Q2329801) (← links)
- Stochastic viability and comparison theorems for mixed stochastic differential equations (Q2340306) (← links)
- Option pricing with non-Gaussian scaling and infinite-state switching volatility (Q2347724) (← links)
- Fractional Liu uncertain differential equation and its application to finance (Q2680010) (← links)
- Limit order books (Q2871425) (← links)
- Long-range dependence of time series for MSFT data of the prices of shares and returns (Q3440812) (← links)
- Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (Q4579834) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
- On the Modeling of <i>C</i><i>O</i><sub>2</sub> EUA and CER Prices of EU‐ETS for the 2008–2012 Period (Q4624934) (← links)
- Bounds for expected supremum of fractional Brownian motion with drift (Q4997196) (← links)
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
- A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109) (← links)
- Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (Q5084750) (← links)
- Stochastic Averaging Principle for Mixed Stochastic Differential Equations (Q5089517) (← links)
- Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
- Deep Neural Networks and PIDE Discretizations (Q5100094) (← links)
- OPTION PRICING IN MARKETS WITH INFORMED TRADERS (Q5148004) (← links)
- HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS (Q5234012) (← links)
- Testing for Change in Long‐Memory Stochastic Volatility Time Series (Q5237528) (← links)
- Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
- Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series (Q6092958) (← links)
- Persistence of return distribution sequence in financial markets (Q6121857) (← links)
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment (Q6591548) (← links)
