Hedging options in market models modulated by the fractional Brownian motion (Q2758167): Difference between revisions

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+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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+Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces
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+Long memory in continuous-time stochastic volatility models
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+Stochastic analysis of the fractional Brownian motion
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+Quadratic covariation and an extension of Itô's formula
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+A generalized clark representation formula, with application to optimal portfolios
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+Stochastic analysis of fractional brownian motions
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+Q4039835
@@ Property / cites work: Q4039835 / rank @@
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+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1081/sap-120000220
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+W2003596454
@@ Property / OpenAlex ID: W2003596454 / rank @@
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