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Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Vector & tensor analysis
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Fractional Calculus and Fractional Processes with Applications to Financial Economics - Theory and Application (Hardcover)
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Fractional Calculus and Fractional Processes with Applications to Financial Economics - Theory and Application (Hardcover)
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Fractional Calculus and Fractional Processes with Applications to
Financial Economics presents the theory and application of
fractional calculus and fractional processes to financial data.
Fractional calculus dates back to 1695 when Gottfried Wilhelm
Leibniz first suggested the possibility of fractional derivatives.
Research on fractional calculus started in full earnest in the
second half of the twentieth century. The fractional paradigm
applies not only to calculus, but also to stochastic processes,
used in many applications in financial economics such as modelling
volatility, interest rates, and modelling high-frequency data. The
key features of fractional processes that make them interesting are
long-range memory, path-dependence, non-Markovian properties,
self-similarity, fractal paths, and anomalous diffusion behaviour.
In this book, the authors discuss how fractional calculus and
fractional processes are used in financial modelling and finance
economic theory. It provides a practical guide that can be useful
for students, researchers, and quantitative asset and risk managers
interested in applying fractional calculus and fractional processes
to asset pricing, financial time-series analysis, stochastic
volatility modelling, and portfolio optimization.
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