Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application

Language: English

Published by Elsevier, 2016

0128042486 / 9780128042489

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Neu Neu - Neuware, Importqualität, auf Lager - Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization.…

Seller Inventory # INF1000820849

Title
Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application
Author
Hasan Fallahgoul
Publisher
Elsevier
Publication year
2016
Condition
Neu
Binding
Hardcover
Language
English
ISBN 10
0128042486
ISBN 13
9780128042489
Item weight
463 grams
Dimensions
241x195x15

AHA-BUCH GmbH

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