This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Or split into 4x interest-free payments of 25% on orders over R50
Learn more
This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Lecture Notes in Mathematics, 1929 |
Release date | November 2007 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2008 |
Authors | Yuliya Mishura |
Dimensions | 235 x 155 x 21mm (L x W x T) |
Format | Paperback |
Pages | 398 |
Edition | 2008 ed. |
ISBN-13 | 978-3-540-75872-3 |
Barcode | 9783540758723 |
Categories | |
LSN | 3-540-75872-0 |