The following pages link to (Q5430704):
Displaying 29 items.
- Pathwise integrals and Itô-Tanaka formula for Gaussian processes (Q300290) (← links)
- Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model (Q340756) (← links)
- Power law Pólya's urn and fractional Brownian motion (Q389275) (← links)
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561) (← links)
- A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Tolerance to arbitrage (Q1805785) (← links)
- Arbitrage and hedging in a non probabilistic framework (Q1938956) (← links)
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (Q2139665) (← links)
- Efficient hedging currency options in fractional Brownian motion model with jumps (Q2164804) (← links)
- Pricing by hedging and no-arbitrage beyond semimartingales (Q2271717) (← links)
- The fractional and mixed-fractional CEV model (Q2315921) (← links)
- Arbitrage in skew Brownian motion models (Q2427806) (← links)
- A note on Wick products and the fractional Black-Scholes model (Q2488475) (← links)
- Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (Q2684130) (← links)
- Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory (Q3466884) (← links)
- Bipower Variation for Gaussian Processes with Stationary Increments (Q3621152) (← links)
- On arbitrage and replication in the fractional Black–Scholes pricing model (Q4459750) (← links)
- The absence of arbitrage in a model with fractal Brownian motion (Q4509533) (← links)
- (Q4583455) (← links)
- Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680) (← links)
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS (Q4634641) (← links)
- Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
- PRICING DERIVATIVES IN HERMITE MARKETS (Q5242955) (← links)
- On the fractional stochastic integration for random non-smooth integrands (Q6046005) (← links)
- Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes (Q6067090) (← links)
- Long-range dependent completely correlated mixed fractional Brownian motion (Q6123268) (← links)
