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.
2002
Atti del XXVI Convegno Annuale A.M.A.S.E.S.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/5778
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