A fractional calculus interpretation of the fractional volatility model

Nonlinear Dynamics

Volumn 55, Issue 4, 2009, Pages 395-399

  Vilela Mendes, R ^a,b  

^a Universidade de Lisboa   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Dynamics of markets; Fractional calculus; Stochastic models

Indexed keywords

CALCULATIONS; COMMERCE; RANDOM PROCESSES; STOCHASTIC SYSTEMS;

FRACTIONAL CALCULUS; FRACTIONAL INTEGRATION; FRACTIONAL NOISE; MARKET DATA; PARAMETRIZATIONS; VOLATILITY MODELING;

STOCHASTIC MODELS;

EID: 59349109245     PISSN: 0924090X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11071-008-9372-0     Document Type: Article

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