Fractional Processes as Models in Stochastic Finance

Christian Bender, Tommi Sottinen, Esko Valkeila

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

Original languageEnglish
Title of host publicationAdvanced Mathematical Methods for Finance
EditorsGiuliani Di Nunno, Bernt Øksendal
Place of PublicationBerlin Heidelberg
PublisherSpringer Gabler
Pages75-103
ISBN (Electronic)978-3-642-1842-3
ISBN (Print)978-3-642-18411-6
Publication statusPublished - 2011
MoE publication typeA3 Book section, Chapters in research books

Keywords

  • approximation of geometric fractional Brownian motion
  • arbitrage
  • fractional Brownian motion
  • hedging in fractional models

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