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[Wiley] Fractional Brownian Motion: Approximations and Projections
10 个回复 - 3033 次查看 [Wiley] Fractional Brownian Motion: Approximations and Projections Authors: Oksana Banna, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar Chapter 1. Projection of fBm on the Space of Martinga ...2021-12-29 20:15 - ccpoo - 计量经济学与统计软件

[分数维布朗运动]Selected Aspects of Fractional Brownian Motion
14 个回复 - 3165 次查看 Book Description Publication Date: January 17, 2013 Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others class ...2015-6-12 20:50 - lasgpope - 量化投资

Option Pricing in Fractional Brownian Markets
7 个回复 - 1915 次查看 Option Pricing in Fractional Brownian Markets by Stefan Rostek The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibili ...2015-3-1 04:19 - SleepyTom - 金融工程（数量金融）与金融衍生品

[分享]Stochastic Calculus for Fractional Brownian motion and related process(1)
16 个回复 - 7803 次查看 Content1 Wiener Integration with Respect to Fractional BrownianMotion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.1 The Elements of Fractional Calculus . . . . . . . . . ...2008-9-25 10:41 - xfoooym - 经济金融数学专区

Stochastic Calculus For Fractional Brownian Motion And Applications (2008)
15 个回复 - 3551 次查看随机分析与分数次布朗运动，主要运用于金融，期权定价~~~ 欢迎大家讨论分数阶布朗运动的东东！2010-7-25 03:43 - jsjiangsj - 经济金融数学专区

Stochastic Calculus for Fractional Brownian Motion and Applications
2 个回复 - 1704 次查看 Stochastic Calculus for Fractional Brownian Motion and Applications Authors: [*]Francesca Biagini, [*]Yaozhong Hu, [*]Bernt Øksendal, [*]Tusheng Zhang [*]The first book t ...2015-3-1 04:26 - SleepyTom - 金融工程（数量金融）与金融衍生品

Stochastic Calculus for Fractional Brownian Motion and Related Processes
2 个回复 - 1549 次查看 Stochastic Calculus for Fractional Brownian Motion and Related Processes by Mishura, Yuliya The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. ...2015-3-1 04:29 - SleepyTom - 金融工程（数量金融）与金融衍生品

求助Applications of the Girsanov theorem for multivariate fractional Brownian mo
2 个回复 - 694 次查看【作者(必填)】Monika Camfrlová (Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Prague, Czech Republic)Petr Čoupek (Department of P ...2021-6-11 10:15 - 地下爆菊 - 求助成功区

Variance change point detection for fractional Brownian motion based on the like
1 个回复 - 788 次查看【作者(必填)】 DanielKucharczyk AgnieszkaWytomanska GrzegorzSikora【文题(必填)】 Variance change point detection for fractional Brownian motion based on the likelihood ratio test【年份(必填)】 15 J ...2017-9-28 15:01 - 姚艳茹 - 求助成功区

求Option pricing for processes driven by mixed fractional Brownian motion with s
3 个回复 - 786 次查看【作者(必填)】BLSP Rao 【文题(必填)】Option pricing for processes driven by mixed fractional Brownian motion with superimposed jumps 【年份(必填)】2015 【全文链接或数据库名称(选填)】 Probabi ...2016-12-4 19:15 - weilinhy - 求助成功区

求DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED
2 个回复 - 665 次查看【作者(必填)】 Katsuto Tanaka 【文题(必填)】DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED ON A MARTINGALE APPROXIMATION 【年份(必填)】2014 【全文链接或数据库名 ...2016-9-13 18:59 - weilinhy - 求助成功区

求论文Integration questions related to fractional Brownian motion
2 个回复 - 890 次查看【作者(必填)】Vladas Pipiras, Murad S. Taqqu[/backcolor] 【文题(必填)】Integration questions related to fractional Brownian motion 【年份(必填)】2000 【全文链接或数据库名称(选填)】 Integration ...2016-8-9 23:37 - weilinhy - 求助成功区

求外文ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC
1 个回复 - 677 次查看【作者(必填)】Alhagyan, Mohammed; Misiran, Masnita; Omar, Zurni. 【文题(必填)】ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC VOLATILITY MODEL 【年份(必填)】2016 【 ...2016-7-5 11:00 - weilinhy - 文献求助专区

The valuation of equity warrants in a fractional Brownian environment
2 个回复 - 620 次查看【作者(必填)】 Weilin Xiao, Weiguo Zhang , Weijun Xu, Xili Zhang 【文题(必填)】 The valuation of equity warrants in a fractional Brownian environment 【年份(必填)】 2012 【全文链接或数据库名称(选 ...2016-5-16 23:43 - feiyufans - 求助成功区

Equity warrants pricing model under Fractional Brownian motion and an empirical
2 个回复 - 622 次查看【作者(必填)】 Wei-Guo Zhang, Wei-Lin Xiao, Chun-Xiong He 【文题(必填)】 Equity warrants pricing model under Fractional Brownian motion and an empirical study 【年份(必填)】 2009 【全文链接或数据 ...2016-5-16 23:48 - feiyufans - 求助成功区

Pricing model for equity warrants in a mixed fractional Brownian environment
1 个回复 - 553 次查看【作者(必填)】 Wei-Lin Xiao, Wei-Guo Zhang, Xili Zhang, Xiaoli Zhang 【文题(必填)】 Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm 【年份(必填)】 2 ...2016-5-16 23:24 - feiyufans - 求助成功区

[下载]Stochastic Calculus for Fractional Brownian Motion and Applications
22 个回复 - 9864 次查看 再次推出关于fractional Brownian motion方面的书籍，由于得来不太容易，所以...关于我以前推荐的关于fractional brownian motion方面的书籍，见下面的链接 ...2008-10-28 14:37 - xfoooym - 经济金融数学专区

Fractional Brownian motions, fractional noises and applications
1 个回复 - 938 次查看 Mandelbrot PR, Van Ness JW (1968) Fractional Brownian motions, fractional noises and applications.SIAM Rev 10:422–4372015-12-17 18:43 - lucky187 - 求助成功区

Fractional Brownian motion and multivariate-t models for longitudinal biomedical
1 个回复 - 1164 次查看 Fractional Brownian motion and multivariate-t models for longitudinal biomedical data, with application to CD4 counts in HIV-patients3d [/url] 由 Oliver T. Stirrup, Abdel G. Babiker, Jam ...2015-11-14 20:29 - oliyiyi - LATEX论坛

求文献A note on approximation to multifractional Brownian motion
1 个回复 - 782 次查看【作者(必填)】HongShuai Dai, YuQiang Li 【文题(必填)】A note on approximation to multifractional Brownian motion 【年份(必填)】Date: 11 Aug 2011 【全文链接或数据库名称(选填)】 Science China Ma ...2015-5-5 21:34 - 地下爆菊 - 求助成功区

The Absence of Arbitrage in a Mixed Brownian–Fractional Brownian Model
4 个回复 - 1189 次查看【作者】Yu. S. Mishuraa, E. Valkeilab 【文题】The Absence of Arbitrage in a Mixed Brownian–Fractional Brownian Model 【年份】2002, Volume 237, Pages 224–2332012-8-25 12:49 - 无诺 - 求助成功区

求S.J Lin stochasitc analysis of fractional brownian motion 这篇文章~
0 个回复 - 758 次查看 2014-12-26 10:13 - szuwusongbin - 新手入门区

Approximation of fractional brownian motion with hurst
9 个回复 - 1412 次查看【作者(必填)】Banna.O.L.. 【文题(必填)】Approximation of fractional brownian motion with hurst index close to 1,by stochastic integrals of linear exponential function. 【年份(必填)】 Applied Sta ...2014-9-29 20:18 - mengzhfei - 求助成功区

Option Pricing in a Fractional Brownian Motion Environment
4 个回复 - 994 次查看作者 Ciprian Necula. 文题 Option Pricing in a Fractional Brownian Motion Environment 年份 Mathematical Reports，2004年6卷3期: 259-273. google 上可以搜索到，但是没有期刊名称等，希望能 ...2012-11-19 16:26 - 无诺 - 文献求助专区

elsevier:Pricing currency options in the mixed fractional Brownian motion
1 个回复 - 951 次查看【作者(必填)】 L.SUn 【文题(必填)】 Pricing currency options in the mixed fractional Brownian motion【年份(必填)】 2013 【全文链接或数据库名称(选填)】http://www.sciencedirect.com/science/article/ ...2013-7-2 20:43 - qijiongli - 求助成功区

On hedging European options in geometric fractional Brownian motion market model
3 个回复 - 1042 次查看【作者】 E. Azmoodeh, Yu. Mishura, and E. Valkeila 【文题】 On hedging European options in geometric fractional Brownian motion market model 【年份】Statist. Decisions, 27(2): 129-143, 2009.2012-8-23 08:36 - 无诺 - 求助成功区

Pricingmodel for equitywarrants in amixedfractionalBrownianenvironment
2 个回复 - 815 次查看【作者(必填)】Wei-Lin Xiaoa[/backcolor], Wei-Guo Zhangb, Xili Zhang Xiaoli Zhangb 【文题(必填)】 Pricingmodel[/backcolor] for equitywarrants[/backcolor] in amixedfractionalBrownianenvironment[/bac ...2012-9-27 10:53 - 无诺 - 求助成功区

The fractionalmixedfractionalBrownianmotion
1 个回复 - 892 次查看【作者(必填)】Charles El-Nouty 【文题(必填)】 The fractionalmixedfractionalBrownianmotion[/backcolor] 【年份(必填)】Volume 65, Issue 2, 1 November 2003, Pages 111–120 Statistics & Probability ...2012-9-23 08:20 - 无诺 - 求助成功区

Stochastic Calculus for Fractional Brownian motion and related process(2)
5 个回复 - 3964 次查看 降价了！！ [此贴子已经被作者于2008-10-28 14:21:25编辑过]2008-9-25 10:44 - xfoooym - 经济金融数学专区

STOCHASTIC CALCULUS FOR FRACTIONAL BROWNIAN MOTION
1 个回复 - 1772 次查看有关分数布朗运动随机积分非常棒的文章，希望对感兴趣的朋友有点帮助！2010-10-9 11:17 - ycp_2012 - 金融学（理论版）

Introduction to Fractional Brownian Motion in Finance
0 个回复 - 1398 次查看 Introduction to Fractional Brownian Motion in Finance2009-12-27 23:06 - zengyan1984 - 论文版

Fractional Brownian Motion
3 个回复 - 1845 次查看关于分数次布朗运动的一些书，最后一本关于是随机微分方程的，，2009-10-26 00:08 - charisn - 经济金融数学专区

[分享]Stochastic Calculus for Fractional Brownian Motion and Applications
3 个回复 - 2695 次查看 [此贴子已经被angelboy于2008-8-14 11:24:04编辑过]2008-8-4 17:12 - cquzzm - 计量经济学与统计软件

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