Affine representations of fractional processes with applications in mathematical finance (Q2419969)
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scientific article; zbMATH DE number 7062613
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| default for all languages | No label defined |
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| English | Affine representations of fractional processes with applications in mathematical finance |
scientific article; zbMATH DE number 7062613 |
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Affine representations of fractional processes with applications in mathematical finance (English)
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4 June 2019
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fractional process
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Markovian representation
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affine process
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infinite-dimensional Markov process
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fractional interest rate model
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fractional volatility model
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0.777370274066925
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0.7702040672302246
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0.7568193078041077
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0.7500882744789124
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