Fractional Calculus And Fractional Processes With Applications To Financial Economics: Theory And Application by Hasan FallahgoulFractional Calculus And Fractional Processes With Applications To Financial Economics: Theory And Application by Hasan Fallahgoul

Fractional Calculus And Fractional Processes With Applications To Financial Economics: Theory And…

byHasan Fallahgoul, Sergio Focardi

Hardcover | September 22, 2016

Pricing and Purchase Info

$106.50

Earn 533 plum® points
Quantity:

In stock online

Ships free on orders over $25

Not available in stores

about

Fractional Calculus and Fractional Processes with Applications to Financial Economicspresents 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 arelong-range memory,path-dependence,non-Markovian properties,self-similarity,fractal paths, andanomalous 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.



  • Provides the necessary background for the book's content as applied to financial economics
  • Analyzes the application of fractional calculus and fractional processes from deterministic and stochastic perspectives
Hasan A. Fallahgoul is currently a postdoctoral researcher at the Swiss Finance Institute @ EPFL, in the team lead by Professor Loriano Mancini. Prior to thisposition, he was a postdoctoral researcher at the European Center for Advanced Research in Economics and Statistics (ECARES), Universite Libre de Bruxelles,Belgium. His research i...
Loading
Title:Fractional Calculus And Fractional Processes With Applications To Financial Economics: Theory And…Format:HardcoverDimensions:118 pages, 9.41 × 7.24 × 0.98 inPublished:September 22, 2016Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0128042486

ISBN - 13:9780128042489

Reviews

Table of Contents

Part I: Theory

1: Fractional calculus and fractional processes: an overview

2: Fractional Calculus

3: Fractional Brownian Motion

4: Fractional Diffusion and Heavy Tail Distributions: Stable Distribution

5: Fractional Diffusion and Heavy Tail Distributions: Geo-Stable Distribution

Part II: Applications

6: Fractional Partial Differential Equation and Option Pricing

7: Continuous-Time Random Walk and Fractional Calculus

8: Applications of Fractional Processes