书目详细信息
： Fractional calculus and fractional processes with applications to financial economics :
书目信息 机读格式(MARC)
| ISBN： | 9780128042489 (hbk.) : |
|---|---|
| ISBN： | 0128042486 (hbk.) |
| 编目源： | BTCTA BTCTA YDXCP BDX FTU OCLCO OCLCF JHE DLC CIBTC |
| 个人名称： | Fallahgoul, Hasan A. |
| 题名： | Fractional calculus and fractional processes with applications to financial economics : theory and application / Hasan A. Fallahgoul, Sergio M. Focardi, Frank J. Fabozzi. |
| 索书号： | F830/F194E |
| 出版发行项： | London : Elsevier/AP, Academic Press is an imprint of Elsevier, 2017. |
| 载体形态： | [xi], 105 p. : ill. ; 24 cm. |
| 书目附注： | Includes bibliographical references (p. [97]-101) and index. |
| 格式化内容附注： | 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. |
| 格式化内容附注： | 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. |
| 格式化内容附注： | 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. |