Add to ORKGFractional Lévy process is a relatively new term from stochastic calculus. Its main use is in physics, but also in finance, where it could be used for modelling of option prices. Fractional Lévy process is derived from Lévy process, where Wiener process is replaced with fractional Wiener process. In comparison with Lévy process, it loses independency of increments and in comparison with fractional Wiener proces, it loses continuity of paths. This bachelor thesis is mainly written as a compilation, which summarizes necessary knowledge for the exploration of Lévy process and the implementation of fractional Lévy process. Powered by TCPDF (www.tcpdf.org
Stock exchange dynamics of fractional order are usually modeled as a non-random exponential growth p...
This book will give readers the possibility of finding very important mathematical tools for working...
In this present work, we perform a numerical analysis of the value of the European style options as ...
Frakcionální Lévyho proces je relativně mladý pojem ze stochastické analýzy. Své využití má předevší...
This thesis is about fractional processes, their pathwise stochastic analysis and financial applicat...
This work concerns the fractional Poisson process and its properties. The aim of this work is to der...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
(From the publisher): The book is devoted to the fundamental relationship between three objects: a s...
We consider fractional Ornstein–Uhlenbeck process as well as fractional CIR-process with Hurst index...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
Fractional processes are widely found in science, technology and engineering systems. In Fractional ...
Fractional calculus is ”the theory of integrals and derivatives of arbitrary order, which unify and ...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
We present new theoretical results on the fractional Brownian motion, including different definition...
Stock exchange dynamics of fractional order are usually modeled as a non-random exponential growth p...
This book will give readers the possibility of finding very important mathematical tools for working...
In this present work, we perform a numerical analysis of the value of the European style options as ...
Frakcionální Lévyho proces je relativně mladý pojem ze stochastické analýzy. Své využití má předevší...
This thesis is about fractional processes, their pathwise stochastic analysis and financial applicat...
This work concerns the fractional Poisson process and its properties. The aim of this work is to der...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
(From the publisher): The book is devoted to the fundamental relationship between three objects: a s...
We consider fractional Ornstein–Uhlenbeck process as well as fractional CIR-process with Hurst index...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
Fractional processes are widely found in science, technology and engineering systems. In Fractional ...
Fractional calculus is ”the theory of integrals and derivatives of arbitrary order, which unify and ...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
We present new theoretical results on the fractional Brownian motion, including different definition...
Stock exchange dynamics of fractional order are usually modeled as a non-random exponential growth p...
This book will give readers the possibility of finding very important mathematical tools for working...
In this present work, we perform a numerical analysis of the value of the European style options as ...