scientific article; zbMATH DE number 1500695

zbMATH Open0955.91023MaRDI QIDQ4501720FDOQ4501720

Marco Corazza

Publication date: 16 November 2000

Title of this publication is not available (Why is that?)

zbMATH Keywords

fractional Brownian motionlong-term dependencefinancial asset returnsMerton

Mathematics Subject Classification ID

Cited In (3)

• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
• On stochasticity and turbulence in the federal funds market
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

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