rostek stefan (13 resultados)

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Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore 'no arbitrage pricing' cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek's dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a rst idea of this special market setting.

Taschenbuch. Condición: Sehr gut. Gebraucht - Sehr gut sg - ungelesenes mängelexemplar, gestempelt, mit leichten lagerspuren - Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore 'no arbitrage pricing' cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek's dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a rst idea of this special market setting.

Taschenbuch. Condición: Neu. Option Pricing in Fractional Brownian Markets | Stefan Rostek | Taschenbuch | Lecture Notes in Economics and Mathematical Systems | xiv | Englisch | 2009 | Springer | EAN 9783642003301 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Softcover. Condición: gut. 2009. Option Pricing in Fractional Brownian Markets In deutscher Sprache. pages.

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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore 'no arbitrage pricing' cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek's dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a rst idea of this special market setting. 152 pp. Englisch.

Condición: New. Print on Demand pp. 152 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.

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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper .

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore ¿no arbitrage pricing¿ cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek¿s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a rst idea of this special market setting.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 152 pp. Englisch.