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Search: subject:"Fractional Brownian Motion"
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Subject
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Fractional Brownian motion
126
Stochastischer Prozess
90
Stochastic process
87
fractional Brownian motion
81
Optionspreistheorie
47
Option pricing theory
46
Theorie
40
Volatility
39
Volatilität
39
Theory
36
Time series analysis
20
Zeitreihenanalyse
20
Hurst exponent
16
Long memory
11
long memory
11
Arbitrage
10
Option pricing
10
Fractional Brownian Motion
9
Malliavin calculus
9
Black-Scholes-Modell
8
Transaction costs
8
Transaktionskosten
8
Black-Scholes model
7
Estimation theory
7
Forecasting model
7
Gaussian process
7
Portfolio selection
7
Portfolio-Management
7
Prognoseverfahren
7
Schätztheorie
7
Discrete Fourier transform
6
Whittle likelihood
6
option pricing
6
stochastic volatility
6
Brownian motion
5
Derivat
5
Derivative
5
Fractional Gaussian noise
5
Hurst coefficient
5
Multivariate stochastic volatility
5
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Online availability
All
Undetermined
170
Free
70
Type of publication
All
Article
191
Book / Working Paper
74
Type of publication (narrower categories)
All
Article in journal
73
Aufsatz in Zeitschrift
73
Working Paper
14
Arbeitspapier
9
Graue Literatur
9
Non-commercial literature
9
Aufsatz im Buch
4
Book section
4
Thesis
3
research-article
3
Conference paper
2
Konferenzbeitrag
2
Article
1
Hochschulschrift
1
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Language
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Undetermined
137
English
128
Author
All
Asai, Manabu
6
McAleer, Michael
6
Mišura, Julija S.
6
Phillips, Peter C.B.
6
Bassler, Kevin E.
5
Gunaratne, Gemunu H.
5
McCauley, Joseph L.
5
Rostek, Stefan
5
Yu, Jun
5
Gorostiza, Luis G.
4
Härdle, Wolfgang
4
Reveiz, Alejandro
4
Rosenbaum, Mathieu
4
Tindel, Samy
4
Ayache, Antoine
3
Björk, Tomas
3
Bojdecki, Tomasz
3
Breton, A. Le
3
Davidson, James
3
Garavaglia, M.
3
Garcin, Matthieu
3
Hall, Peter
3
Hashimzade, Nigar
3
Hult, Henrik
3
Jing, Bingyi
3
Kleinow, Torsten
3
Kleptsyna, M.L.
3
Marinucci, D
3
Michna, Zbigniew
3
Pérez, D.G.
3
Robinson, Peter M.
3
Rosso, O.A.
3
Schmidt, Peter
3
Schöbel, Rainer
3
Shokrollahi, Foad
3
Turvey, Calum G.
3
Valkeila, Esko
3
Wang, Xiaohu
3
Wongsasutthikul, Paitoon
3
Xiang, Yun
3
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
Cowles Foundation for Research in Economics, Yale University
6
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
4
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
3
London School of Economics (LSE)
3
School of Economics and Management, University of Aarhus
3
BANCO DE LA REPÚBLICA
2
Banco de la Republica de Colombia
2
Business School, University of Exeter
2
EconWPA
2
HAL
2
Agricultural and Applied Economics Association - AAEA
1
CTS - Centre for Transport Studies Stockholm (KTH and VTI)
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Facultat d'Economia i Empresa, Universitat de Barcelona
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
Institut für Weltwirtschaft (IfW)
1
Institute of Economic Research, Kyoto University
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
1
Tinbergen Instituut
1
Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen
1
World Scientific Publishing Co. Pte. Ltd.
1
Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
1
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Published in...
All
Physica A: Statistical Mechanics and its Applications
33
Statistical Inference for Stochastic Processes
22
Stochastic Processes and their Applications
18
Statistics & Probability Letters
13
Quantitative finance
9
MPRA Paper
7
Cowles Foundation Discussion Papers
6
International journal of theoretical and applied finance
6
Advances in Economic and Financial Research - DOFIN Working Paper Series
4
Econometric reviews
4
Finance and Stochastics
4
Journal of mathematical finance
4
Risk and decision analysis
4
CREATES Research Papers
3
Computational economics
3
Finance and stochastics
3
International journal of financial engineering
3
LSE Research Online Documents on Economics
3
Mathematics and Computers in Simulation (MATCOM)
3
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
RePAd Working Paper Series
3
Risks : open access journal
3
Agricultural Finance Review
2
Agricultural finance review
2
Annals of finance
2
BORRADORES DE ECONOMIA
2
Borradores de Economia
2
Discussion Papers / Business School, University of Exeter
2
Economic Modelling
2
Economic modelling
2
Finance
2
Financial innovation : FIN
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Mathematical finance
2
Mathematics and financial economics
2
Mathematics of operations research
2
Quantitative Finance
2
SSE/EFI Working Paper Series in Economics and Finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tübinger Diskussionsbeiträge
2
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Source
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RePEc
163
ECONIS (ZBW)
89
EconStor
6
Other ZBW resources
4
BASE
3
Showing
31
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40
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265
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31
On RVaR-based optimal partial hedging
Melnikov, Alexander
;
Wan, Hongxi
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013342143
Saved in:
32
Long versus short time scales : the rough dilemma and beyond
Garcin, Matthieu
;
Grasselli, Martino
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 257-278
Persistent link: https://www.econbiz.de/10013380566
Saved in:
33
A fractional Brownian-Hawkes model for the Italian electricity spot market : estimation and forecasting
Giordano, Luca M.
;
Morale, Daniela
- In:
The journal of energy markets
14
(
2021
)
3
,
pp. 65-109
Persistent link: https://www.econbiz.de/10012805344
Saved in:
34
E-strong simulation of
fractional
brownian
motion
and related stochastic differential equations
Chen, Yi
;
Dong, Jing
;
Ni, Hao
- In:
Mathematics of operations research
46
(
2021
)
2
,
pp. 559-594
Persistent link: https://www.econbiz.de/10012582184
Saved in:
35
Monitoring memory parameter change-points in long-memory time series
Chen, Zhanshou
;
Xiao, Yanting
;
Li, Fuxiao
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
5
,
pp. 2365-2389
Persistent link: https://www.econbiz.de/10012585571
Saved in:
36
Pricing European option under fuzzy mixed
fractional
Brownian
motion
model with jumps
Zhang, Wei-guo
;
Li, Zhe
;
Liu, Yong-Jun
;
Zhang, Yue
- In:
Computational economics
58
(
2021
)
2
,
pp. 483-515
Persistent link: https://www.econbiz.de/10012615049
Saved in:
37
Carbon option price forecasting based on modified
fractional
Brownian
motion
optimized by GARCH model in carbon emission trading
Liu, Zhibin
;
Huang, Shang-Ho
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012667720
Saved in:
38
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Callegaro, Giorgia
;
Grasselli, Martino
;
Pagès, Gilles
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 221-254
Persistent link: https://www.econbiz.de/10012498120
Saved in:
39
High-frequency trading with
fractional
Brownian
motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
Saved in:
40
Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging
Salmon, Nicholas
;
SenGupta, Indranil
- In:
Annals of finance
17
(
2021
)
4
,
pp. 529-558
Persistent link: https://www.econbiz.de/10012664151
Saved in:
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