From Market Data to Agent-Based Models and Stochastic Differential Equations

DOI10.1007/978-3-319-32144-8_11zbMath1406.91502OpenAlexW2489138575MaRDI QIDQ2832858

R. Vilela Mendes

Publication date: 15 November 2016

Published in: From Particle Systems to Partial Differential Equations III (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-32144-8_11

zbMATH Keywords

completenessarbitrageagent-based modelsfractional volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cites Work

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