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Item Details
| Title:
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PARAMETER ESTIMATION IN FRACTIONAL DIFFUSION MODELS
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| By: |
Kestutis Kubilius |
| Format: |
Paperback / softback |
| List price:
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£99.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
331989031X |
| ISBN 13: |
9783319890319 |
| Publisher: |
SPRINGER INTERNATIONAL PUBLISHING AG |
| Pub. date: |
15 February, 2019 |
| Edition: |
Softcover reprint of the original 1st ed. 2017 |
| Series: |
Bocconi & Springer Series |
| Pages: |
390 |
| Description: |
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. |
| Illustrations: |
2 Tables, color; 2 Illustrations, color; 15 Illustrations, black and white; XIX, 390 p. 17 illus., 2 illus. in color. |
| Returns: |
Non-returnable |
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