| Judul | Application of Fractal Processes and Fractional Derivatives in Finance |
| Pengarang | Chan, Leung Lung (editor) |
| Penerbitan | MDPI - Multidisciplinary Digital Publishing Institute, 2024 |
| Deskripsi Fisik | 248 hlm. :ill |
| ISBN | 9783725810925 |
| Subjek | Finance—Mathematical models |
| Catatan | 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. The dynamics of the volatility of asset price or asset price itself were modelled as a fractional Brownian motion in finance and are called rough volatility models and the fractional Black–Scholes model, respectively. Fractional diffusion processes are also used to model the dynamics of underlying assets. The option price under the fractional diffusion setting induces fractional partial differential equations involving the fractional derivatives with respect to the time and the space, respectively. |
| Bentuk Karya | Tidak ada kode yang sesuai |
| Target Pembaca | Tidak ada kode yang sesuai |
| Lokasi Akses Online |
https://oer.unair.ac.id/files/original/d462c2cd7662e1d020162e2d1101c768.pdf |
| No Barcode | No. Panggil | Akses | Lokasi | Ketersediaan |
|---|---|---|---|---|
| 371925192 | 332.0151 App a | Baca Online | Perpustakaan Pusat - Online Resources Ebook |
Tersedia |
| Tag | Ind1 | Ind2 | Isi |
| 001 | INLIS000000000165299 | ||
| 005 | 20251126095105 | ||
| 007 | ta | ||
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| 020 | # | # | $a 9783725810925 |
| 035 | # | # | $a 0010-1125000188 |
| 082 | # | # | $a 332.0151 |
| 084 | # | # | $a 332.0151 App a |
| 100 | 0 | # | $a Chan, Leung Lung (editor) |
| 245 | 1 | # | $a Application of Fractal Processes and Fractional Derivatives in Finance |
| 260 | # | # | :$b MDPI - Multidisciplinary Digital Publishing Institute,$c 2024 |
| 300 | # | # | $a 248 hlm. : $b ill |
| 505 | # | # | $a 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. The dynamics of the volatility of asset price or asset price itself were modelled as a fractional Brownian motion in finance and are called rough volatility models and the fractional Black–Scholes model, respectively. Fractional diffusion processes are also used to model the dynamics of underlying assets. The option price under the fractional diffusion setting induces fractional partial differential equations involving the fractional derivatives with respect to the time and the space, respectively. |
| 650 | # | # | $a Finance—Mathematical models |
| 856 | # | # | $a https://oer.unair.ac.id/files/original/d462c2cd7662e1d020162e2d1101c768.pdf |
| 990 | # | # | $a 371925192 |
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