Financial Markets with Memory I: Dynamic Models
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Publication:4678735
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(38)- Replication of Wiener-transformable stochastic processes with application to financial markets with memory
- Risky asset models with tempered stable fractal activity time
- Long-term memory and applying the multi-factor ARFIMA models in financial markets
- Memory, market stability and attractors coexistence in a nonlinear cobweb model
- Memory Property in Heterogeneously Populated Markets
- Financial models with dependence on the past: a survey
- Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
- Two-dimensional stochastic dynamics as model for time evolution of the financial market
- Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
- Long memory in a linear stochastic Volterra differential equation
- Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations
- Econometric estimation in long-range dependent volatility models: theory and practice
- Wavelet-based estimation of anisotropic spatiotemporal long-range dependence
- Time-changed fractional Ornstein-Uhlenbeck process
- Binary market models with memory
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- Option pricing theory for financial assets with memory
- Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process
- The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck stochastic process
- Sandwiched SDEs with unbounded drift driven by Hölder noises
- Fractional Cox-Ingersoll-Ross process with small Hurst indices
- The Kurzweil integral in financial market modeling.
- Bubbles and crashes in a Black-Scholes model with delay
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
- Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise
- Telegraph processes with random jumps and complete market models
- A jump telegraph model for option pricing
- Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
- Linear filtering of systems with memory and application to finance
- Long run behaviour of the autocovariance function of ARCH() models
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
- Modeling of macroeconomics by a novel discrete nonlinear fractional dynamical system
- A Vasicek-type short rate model with memory effect
- Combining estimating functions for volatility
- Jump telegraph processes and financial markets with memory
- Representation theorems in finite prediction, with applications
- First passage times for some classes of fractional time-changed diffusions
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
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