A fractional calculus interpretation of the fractional volatility model
type: Item
instance of: scholarly article
title: A fractional calculus interpretation of the fractional volatility model
zbMATH Open document ID: 1187.91231
author: R. Vilela Mendes
published in: Nonlinear Dynamics
publication date: 2009-09-11T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G18
zbMATH DE Number: 5603182
zbMATH Keywords: fractional calculus
zbMATH Keywords: dynamics of markets
zbMATH Keywords: stochastic models
MaRDI profile type: Publication
full work available at URL: s11071-008-9372-0
OpenAlex ID: W2132415300
cites work: A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS
cites work: Reconstructing an economic space from a market metric
cites work: The geometry of crashes. A measure of the dynamics of stock market crises
cites work: Q4438574
cites work: Q2741107
cites work: Waiting-times and returns in high-frequency financial data: An empirical study
cites work: Random Walks on Lattices. II
cites work: Fractional kinetic equations: solutions and applications
cites work: Q4842684
cites work: Q4407604
cites work: Q3141895
cites work: Q4202615
cites work: Sampling almost-periodic functions with random probes of finite density
cites work: Q4438588
cites work: Probability interpretation of the integral of fractional order
DOI: 10.1007/S11071-008-9372-0
description: scientific article; zbMATH DE number 5603182