This volume examines the theory of fractional Brownian motion
and other long-memory processes. Interesting topics for PhD
students and specialists in probability theory, stochastic analysis
and financial mathematics demonstrate the modern level of this
field. It proves that the market with stock guided by the mixed
model is arbitrage-free without any restriction on the dependence
of the components and deduces different forms of the Black-Scholes
equation for fractional market.
General
| Imprint: |
Springer-Verlag
|
| Country of origin: |
Germany |
| Series: |
Lecture Notes in Mathematics, 1929 |
| Release date: |
November 2007 |
| First published: |
2008 |
| Authors: |
Yuliya Mishura
|
| Dimensions: |
235 x 155 x 21mm (L x W x T) |
| Format: |
Paperback
|
| Pages: |
398 |
| Edition: |
2008 ed. |
| ISBN-13: |
978-3-540-75872-3 |
| Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
| LSN: |
3-540-75872-0 |
| Barcode: |
9783540758723 |
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