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Application of Fractal Processes and Fractional Derivatives in Finance

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later by...

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Guardat en:
Format: Online
Idioma:anglès
Publicat: MDPI - Multidisciplinary Digital Publishing Institute 2024
Matèries:
homotopy perturbation method
Elaki transform
fractional Black–Scholes equation
granular differentiability
fractional differential equation
uncertainty theory
currency model
currency option pricing
convergence rate
high-order finite difference method
Markov regime-switching jump-diffusion model
partial integro-differential equations
China’s stock market
stock market slump
multifractality
stock forecast
fractional-order particle swarm optimization algorithm
mixed fraction Brownian motion
Hurst
variational iteration method
generalized fractional derivative
generalized Laplace tranform
generalized Mittag–Leffler function
fractional Black-Scholes model
ELS
finite difference scheme
technological innovation
finance
real economy
multifractal
denoising
stock prediction
asymmetry Hurst exponent
deep learning
neural networks
time-fractional Black-Scholes PDEs
double barriers options
numerical methods
global market efficiency
multifractal detrended fluctuation analysis
developed markets
emerging markets
frontier markets
the generalized value at risk (GCoVaR)
systemically important banks (SIBs)
risk spillover
thema EDItEUR::K Economics, Finance, Business and Management
thema EDItEUR::K Economics, Finance, Business and Management::KF Finance and accounting
Accés en línia:ONIX_20240704_9783725810918_53
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