The following pages link to (Q4848525):
Displaying 32 items.
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (Q424708) (← links)
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Estimation in models driven by fractional Brownian motion (Q731662) (← links)
- Variational solutions for partial differential equations driven by a fractional noise (Q820065) (← links)
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift (Q869098) (← links)
- On the mixed fractional Brownian motion (Q937469) (← links)
- Possible long-range dependence in fractional random fields. (Q1304351) (← links)
- A critical look at Lo's modified \(R/S\) statistic. (Q1304363) (← links)
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
- A higher-order interactive hidden Markov model and its applications (Q1642063) (← links)
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model (Q1766666) (← links)
- Variational solutions for a class of fractional stochastic partial differential equations (Q1775134) (← links)
- Some long-range dependence processes arising from fluctuations of particle systems (Q1776822) (← links)
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion. (Q1780711) (← links)
- Tolerance to arbitrage (Q1805785) (← links)
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\). (Q1868540) (← links)
- Local and implied volatilities with the mixed-modified-fractional-Dupire model (Q2169607) (← links)
- The fractional and mixed-fractional CEV model (Q2315921) (← links)
- Existence and uniqueness of solutions for a fractional order antiperiodic boundary value problem with a \(p\)-Laplacian operator (Q2319065) (← links)
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models (Q2322589) (← links)
- Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
- Correcting Newton-Côtes integrals by Lévy areas (Q2469648) (← links)
- Gaussian moving averages, semimartingales and option pricing. (Q2574617) (← links)
- Estimation methods for the LRD parameter under a change in the mean (Q2633430) (← links)
- Bipower Variation for Gaussian Processes with Stationary Increments (Q3621152) (← links)
- Perpetual American options with fractional Brownian motion (Q4610216) (← links)
- (Q5019097) (← links)
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion (Q5086430) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- The fractional mixed fractional brownian motion and fractional brownian sheet (Q5429615) (← links)
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets (Q5431993) (← links)
- Fourier approach to goodness-of-fit tests for Gaussian random processes (Q6581307) (← links)
