Pages that link to "Item:Q4372054"
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The following pages link to Arbitrage with Fractional Brownian Motion (Q4372054):
Displaying 50 items.
- Strong asymptotic arbitrage in the large fractional binary market (Q253102) (← links)
- Subtle noise structures as control signals in high-order biocognition (Q341978) (← links)
- Solutions to BSDEs driven by both standard and fractional Brownian motions (Q350757) (← links)
- Invariance principles in Besov spaces, Gaussian processes and long-range dependence (Q384773) (← links)
- Power law Pólya's urn and fractional Brownian motion (Q389275) (← links)
- On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes (Q398201) (← links)
- Mild solutions for a class of fractional SPDEs and their sample paths (Q423348) (← links)
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Numerical schemes for rough parabolic equations (Q434372) (← links)
- Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach (Q437400) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Absence of arbitrage in a general framework (Q470679) (← links)
- On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\) (Q491179) (← links)
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter (Q552993) (← links)
- A new formulation of asset trading games in continuous time with essential forcing of variation exponent (Q605895) (← links)
- On stochastic calculus related to financial assets without semimartingales (Q645948) (← links)
- Rough paths in idealized financial markets (Q647162) (← links)
- The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
- Whitening filter and innovational representation of fractional Brownian motion (Q712152) (← links)
- On a stochastic heat equation with first order fractional noises and applications to finance (Q714080) (← links)
- Discretely sampled signals and the rough Hoff process (Q737171) (← links)
- Variational solutions for partial differential equations driven by a fractional noise (Q820065) (← links)
- Quasi-sure \(p\)-variation of fractional Brownian motion (Q886328) (← links)
- Long memory affine term structure models (Q898585) (← links)
- Variational solutions and random dynamical systems to SPDEs perturbed by fractional Gaussian noise (Q904613) (← links)
- Fractional Liu process with application to finance (Q970062) (← links)
- Fractional martingales and characterization of the fractional Brownian motion (Q971945) (← links)
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection (Q997294) (← links)
- A decomposition of the bifractional Brownian motion and some applications (Q1007350) (← links)
- A jump-diffusion model for option pricing under fuzzy environments (Q1023093) (← links)
- No arbitrage without semimartingales (Q1024894) (← links)
- Spectral representation of Gaussian semimartingales (Q1047164) (← links)
- Whitening filter and innovations representation of self-similar process. (Q1419035) (← links)
- Arbitrage in fractional Brownian motion models (Q1424724) (← links)
- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). (Q1433879) (← links)
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity (Q1608913) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- Mixed fractional Heston model and the pricing of American options (Q1675943) (← links)
- Lyapunov techniques for stochastic differential equations driven by fractional Brownian motion (Q1723782) (← links)
- Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients (Q1744224) (← links)
- Bridge representation and modal-path approximation (Q1756961) (← links)
- On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model (Q1782839) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Dynamic hedging based on fractional order stochastic model with memory effect (Q1793474) (← links)
- Tolerance to arbitrage (Q1805785) (← links)
- Stochastic bifurcation models (Q1807201) (← links)
