Dublin Core
Title
Application of Fractal Processes and Fractional Derivatives in Finance
Subject
Finance
Description
In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later by Mandelbrot in 1965. It has been used in hydrology and climatology as well as finance.
Creator
Chan, Leung Lung (editor)
Source
https://directory.doabooks.org/handle/20.500.12854/139257
Publisher
MDPI - Multidisciplinary Digital Publishing Institute
Date
2024
Contributor
wulan
Rights
https://creativecommons.org/licenses/by-nc-nd/4.0/
Format
pdf
Language
English
Type
Textbook
Identifier
10.3390/books978-3-7258-1092-5