Fractional Brownian motion: Stochastic calculus and applications

International Congress of Mathematicians, ICM 2006

Volumn 3, Issue , 2006, Pages 1541-1562

  Nualart, David ^a  

^a UNIVERSITY OF KANSAS   (United States)

Author keywords

Black Scholes formula; Fractional Brownian motion; Malliavin calculus; Stochastic integrals; Stochastic volatility models

Indexed keywords

BLACK-SCHOLES FORMULA; FRACTIONAL BROWNIAN MOTION; MALLIAVIN CALCULUS; STOCHASTIC INTEGRAL; STOCHASTIC VOLATILITY MODEL;

ECONOMIC ANALYSIS; INTEGRAL EQUATIONS; STOCHASTIC SYSTEMS;

CALCULATIONS;

EID: 84878041196     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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