Fractional calculus and fractional processes with applications to financial economics : theory and application / / Hasan A. Fallahgoul, Sergio M. Focardi, Frank J. Fabozzi

• Autore: Fallahgoul Hasan A.
• Pubblicazione: Amsterdam, [Netherlands] : , : Academic Press, , 2017; ℗2017
• Descrizione fisica: 1 online resource (120 pages) : illustrations
• Disciplina: 515.83
• Soggetto topico: Fractional calculus
• Persona (resp. second.): FocardiSergio M.; FabozziFrank J.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application; Copyright; Dedication ; About the Authors; Contents; List of illustrations; Part I Theory; 1 Fractional calculus and fractional processes: an overview; 1.1 Fractional calculus; 1.2 Fractional processes; 2 Fractional Calculus; 2.1 Different definitions for fractional derivatives; 2.2 Computation with Matlab; Key points of the chapter ; 3 Fractional Brownian Motion; 3.1 Definition; 3.2 Long-Range Dependency; 3.3 Self-Similarity; 3.4 Existence of Arbitrage ; Key points of the chapter 4 Fractional Diffusion and Heavy Tail Distributions: Stable Distribution; 4.1 Univariate Stable Distribution; 4.2 Multivariate Stable Distribution; Key points of the chapter ; 5 Fractional Diffusion and Heavy Tail Distributions: Geo-Stable Distribution; 5.1 Univariate Geo-stable Distribution; 5.2 Multivariate Geo-stable Distribution; Key points of the chapter ; Part II Applications; 6 Fractional Partial Differential Equation and Option Pricing; 6.1 Option Pricing and Brownian Motion; 6.2 Option Pricing and the Lévy Process; Key points of the chapter ; 7 Continuous-Time Random Walk and Fractional Calculus7.1 Continuous-Time Random Walk; 7.2 Fractional Calculus and Probability Density Function; 7.3 Applications; Key points of the chapter ; 8 Applications of Fractional Processes; 8.1 Fractionally Integrated Time Series; 8.2 Stock-Returns and Volatility Processes; 8.3 Interest-Rate Processes; 8.4 Order Arrival Processes; Key points of the chapter ; References; Index ; Back Cover
• Titolo autorizzato: Fractional calculus and fractional processes with applications to financial economics
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910583058803321
• Lo trovi qui: Univ. Federico II