Stochastic Calculus for Fractional Brownian Motion and Related Processes
Author:   Yuliya Mishura
Publisher:   Springer
ISBN:  

9783540848509


Pages:   420
Publication Date:   17 July 2008
Format:   Undefined
Availability:   Out of stock   Availability explained


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Stochastic Calculus for Fractional Brownian Motion and Related Processes


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Overview

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.

Full Product Details

Author:   Yuliya Mishura
Publisher:   Springer
Imprint:   Springer
Dimensions:   Width: 23.40cm , Height: 2.20cm , Length: 15.60cm
Weight:   0.585kg
ISBN:  

9783540848509


ISBN 10:   3540848509
Pages:   420
Publication Date:   17 July 2008
Audience:   General/trade ,  General
Format:   Undefined
Publisher's Status:   Unknown
Availability:   Out of stock   Availability explained

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