Fractional calculus and fractional processes with applications to financial economics theory and application / Hasan A. Fallahgoul, Sergio M. Focardi, Frank J. Fabozzi.
| Author/creator | Fallahgoul, Hasan A. |
| Other author | Focardi, Sergio M. |
| Other author | Fabozzi, Frank J. |
| Format | Electronic |
| Publication Info | Amsterdam ; Boston : Elsevier/AP, Academic Press is an imprint of Elsevier, [2017] |
| Description | x, 105 pages : illustrations ; 24 cm |
| Supplemental Content | Full text available from eBook - Mathematics 2017 [EBCM17] |
| Subjects |
| Contents | 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 |
| Contents | 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 |
| Contents | 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 |
| Bibliography note | Includes bibliographical references (pages 97-101) and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2016499978 |
| ISBN | 9780128042489 |
| ISBN | 0128042486 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |