Stochastic volatility and fractional Brownian motion (Q2485787): Difference between revisions

@@ Property / author @@
-Marc Hoffmann
@@ Property / author: Marc Hoffmann / rank @@
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@@ Property / author @@
+Marc Hoffmann
@@ Property / author: Marc Hoffmann / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2004.03.008
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@@ Property / OpenAlex ID @@
+W2047323055
@@ Property / OpenAlex ID: W2047323055 / rank @@
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
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@@ Property / cites work @@
+Stochastic integration with respect to fractional Brownian motion
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@@ Property / cites work @@
+Quelques espaces fonctionnels associés à des processus gaussiens
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@@ Property / cites work @@
+Q2702613
@@ Property / cites work: Q2702613 / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory continuous time models
@@ Property / cites work: Long memory continuous time models / rank @@
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@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
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@@ Property / cites work @@
+Itô's formula with respect to fractional Brownian motion and its application
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@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
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@@ Property / cites work @@
+Parameter estimation for discretely observed stochastic volatility models
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@@ Property / cites work @@
+Stochastic volatility models as hidden Markov models and statistical applications
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@@ Property / cites work @@
+Estimation du coefficient de diffusion de la volatilité d'un modèle à volatilité stochastique
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Rate of convergence for parametric estimation in a stochastic volatility model.
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@@ Property / cites work @@
+Quadratic variations and estimation of the local Hölder index of a Gaussian process
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@@ Property / cites work @@
+Tolerance to arbitrage
@@ Property / cites work: Tolerance to arbitrage / rank @@
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@@ Property / cites work @@
+Q3141895
@@ Property / cites work: Q3141895 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian motion, random walks and binary market models
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@@ links / mardi / name / links / mardi / name @@
+Publication:2485787