Multifractional processes in finance

DOI10.3233/RDA-130097zbMath1409.91294OpenAlexW3125027632MaRDI QIDQ3119626

Augusto Pianese, Sergio Bianchi

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-130097

zbMATH Keywords

efficient marketsbehavioral financestylized factsmultifractional processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Actuarial science and mathematical finance (91G99)

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