Pages that link to "Item:Q5950464"
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The following pages link to Fractional Brownian motion, random walks and binary market models (Q5950464):
Displaying 50 items.
- Strong asymptotic arbitrage in the large fractional binary market (Q253102) (← links)
- Approximation of the Rosenblatt sheet (Q305890) (← 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)
- Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus (Q453268) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Absence of arbitrage in a general framework (Q470679) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Drift parameter estimation in fractional diffusions driven by perturbed random walks (Q625008) (← links)
- Controller design for integer and fractional plants using piecewise orthogonal functions (Q718235) (← links)
- A strong uniform approximation of fractional Brownian motion by means of transport processes (Q734645) (← links)
- Fractional Brownian motion and martingale-differences (Q868264) (← links)
- Binary market models with memory (Q871007) (← links)
- Asymptotic proportion of arbitrage points in fractional binary markets (Q901293) (← links)
- On the convergence of stochastic integrals with respect to \(p\)-semimartingales (Q951213) (← links)
- Fractional Liu process with application to finance (Q970062) (← links)
- On weak approximations of integrals with respect to fractional Brownian motion (Q1004279) (← links)
- On tightness of solutions of stochastic integral equations driven by \(p\)-semimartingales (Q1033571) (← links)
- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). (Q1433879) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- On the approximate discrete KLT of fractional Brownian motion and applications (Q1622267) (← links)
- An integrate-and-fire model to generate spike trains with long-range dependence (Q1628248) (← links)
- Discretizing Malliavin calculus (Q1639664) (← links)
- Operator fractional Brownian motion and martingale differences (Q1724977) (← links)
- On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
- Some long-range dependence processes arising from fluctuations of particle systems (Q1776822) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
- Bayesian inference for fractional oscillating Brownian motion (Q2135897) (← links)
- Parameter identification for mixed fractional Brownian motions with the drift parameter (Q2164277) (← links)
- CEV model equipped with the long-memory (Q2226287) (← links)
- Weak convergence to the fractional Brownian sheet using martingale differences (Q2251687) (← links)
- Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk (Q2255167) (← links)
- Weak and strong discrete-time approximation of fractional SDEs (Q2257577) (← links)
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models (Q2322589) (← links)
- Donsker type theorem for fractional Poisson process (Q2322591) (← links)
- Weak convergence to Rosenblatt sheet (Q2355255) (← links)
- Pricing credit derivatives under fractional stochastic interest rate models with jumps (Q2398847) (← links)
- Stochastic volatility and fractional Brownian motion (Q2485787) (← links)
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance (Q2485795) (← links)
- Parameter estimation for fractional diffusion process with discrete observations (Q2631908) (← links)
- Weak approximation of a fractional SDE (Q2654159) (← links)
- Squarefrees are Gaussian in short intervals (Q2681762) (← links)
- Random walks and subfractional Brownian motion (Q2815969) (← links)
- From Market Data to Agent-Based Models and Stochastic Differential Equations (Q2832858) (← links)
- Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process (Q2854346) (← links)
- Stochastic Volatility and Multifractional Brownian Motion (Q2914791) (← links)
- CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS (Q2947342) (← links)
- Maximum-likelihood estimators and random walks in long memory models (Q3106392) (← links)
