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Stochastic Calculus for Fractional Brownian Motion and Related Processes

Item  9783540758723
$79.95
Sale $63.44
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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...
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Stochastic Calculus for Fractional Brownian Motion and Related Processes

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

ISBN 9783540758723
Fiction/Non-Fiction Non-Fiction
Publisher Springer Verlag
Pages 393
List Price $79.95
Author Mishura, Yuliya S.
Publication Date 01/15/2008
Release Status In Print
Format Paperback
Language English
Measurements Height: 9 Inches (US)
Width: 6.25 Inches (US)
Thickness: 1 Inches (US)
Unit Weight: 1.4 Pounds (US)
Series Lecture Notes in Mathematics
Edition Number 1
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Stochastic Calculus for Fractional Brownian Motion and Related Processes

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