Convegno tenuto presso l'Università degli Studi di Verona.
In this work we determine the deterministic financial laws according to which the riskless component of a risky portfolio must evolve in order to avoid the possibility of arbitrage under the assumption following which the dynamics of the stochastic component of the same portfolio is driven by a fractional Brownian motion.
Fractional Differo-Integral Calculus for Deterministic Fractal Financial Laws
CORAZZA, Marco
;
2002-01-01
Abstract
In this work we determine the deterministic financial laws according to which the riskless component of a risky portfolio must evolve in order to avoid the possibility of arbitrage under the assumption following which the dynamics of the stochastic component of the same portfolio is driven by a fractional Brownian motion.File in questo prodotto:
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