Multiscale estimation of processes related to the fractional Black-Scholes equation

DOI10.1007/BF03354606zbMath1037.62109MaRDI QIDQ1424648

R. Fernández-Pascual, José M. Angulo, María D. Ruiz-Medina

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

extrapolationfilteringfractional derivativewavelet expansions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Possible long-range dependence in fractional random fields.
• Elliptic Gaussian random processes
• Perturbation theory for linear operators.
• Nonlinear solution of linear inverse problems by wavelet-vaguelette decomposition
• Ten Lectures on Wavelets
• Multi-resolution approximation to the stochastic inverse problem
• A risky asset model with strong dependence through fractal activity time
• A solution approach to valuation with unhedgeable risks
• A class of risk neutral densities with heavy tails
• Stochastic fractional-order differential models with fractal boundary conditions
• Forecasting multifractal volatility
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Multiscale estimation of processes related to the fractional Black-Scholes equation