𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A fractional calculus interpretation of the fractional volatility model

✍ Scribed by R. Vilela Mendes

Book ID
106486754
Publisher
Springer Netherlands
Year
2008
Tongue
English
Weight
222 KB
Volume
55
Category
Article
ISSN
0924-090X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The fractional volatility model: An agen
The fractional volatility model: An agent-based interpretation
✍ R. Vilela Mendes πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 505 KB

Based on the criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are reviewed and extended t

Which differintegration? [fractional cal
Which differintegration? [fractional calculus]
✍ Ortigueira, M.D.; Machado, J.A.T.; da Costa, J.S. πŸ“‚ Article πŸ“… 2005 πŸ› The Institution of Electrical Engineers 🌐 English βš– 156 KB
The special functions of fractional calc
The special functions of fractional calculus as generalized fractional calculus operators of some basic functions
✍ Virginia Kiryakova πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 964 KB

## H-functions a b s t r a c t We propose a unified approach to the so-called Special Functions of Fractional Calculus (SFs of FC), recently enjoying increasing interest from both theoretical mathematicians and applied scientists. This is due to their role as solutions of fractional order different