Fractional Calculus and Fractional Processes with Applications to Financial Economics

Theory and Application

Nonfiction, Science & Nature, Mathematics, Probability, Game Theory
Cover of the book Fractional Calculus and Fractional Processes with Applications to Financial Economics by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi, Elsevier Science
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi ISBN: 9780128042847
Publisher: Elsevier Science Publication: October 6, 2016
Imprint: Academic Press Language: English
Author: Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
ISBN: 9780128042847
Publisher: Elsevier Science
Publication: October 6, 2016
Imprint: Academic Press
Language: English

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.

  • 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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Elsevier Science

Cover of the book From Zeolites to Porous MOF Materials - the 40th Anniversary of International Zeolite Conference, 2 Vol Set by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Handbook of Psychological Assessment by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Building Intelligent Information Systems Software by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Chemical Process Equipment by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Strategies and Tactics in Organic Synthesis by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Inorganic Controlled Release Technology by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Logical, Algebraic, Analytic and Probabilistic Aspects of Triangular Norms by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Sensing and Monitoring Technologies for Mines and Hazardous Areas by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Reaction Rate Theory and Rare Events by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Managing Intellectual Capital in Libraries by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Bridging Scales in Modelling and Simulation of Non-Reacting and Reacting Flows. Part I by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Biopharmaceutical Processing by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book The Physics of Computing by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Human Facial Expression by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
Cover of the book Mitochondrial Genome Evolution by Hasan Fallahgoul, Sergio Focardi, Frank Fabozzi
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy