Stochastic Calculus for Fractional Brownian Motion and Related Processes

By:

Yuliya Mishura

Format:

Paperback / softback

Series:

Lecture Notes in Mathematics

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Description

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.

Release date NZ

November 30th, 2007

Author

Yuliya Mishura

Audiences

Postgraduate, Research & Scholarly
Undergraduate

Illustrations

XVIII, 398 p.

Pages

398

Series

Lecture Notes in Mathematics

Dimensions

156x234x21

ISBN-13

9783540758723

Product ID

2496193

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