An S-transform approach to integration with respect to a fractional Brownian motion
By Christian Bender. 2003
71 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2f9f01b7572ad6ddbbdb7bda3e13a614f10ff419
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Joachim Lebovits
- Christian Bender
- Tommi Sottinen
- Esko Valkeila
- Frederi G. Viens
- David Nualart
- Oana Mocioalca
- Patrick Cheridito
In Finance
- Joachim Lebovits
- Christian Bender
- Tommi Sottinen
- Esko Valkeila
- David Nualart
- Jessica Steiner
- Frederi G. Viens
- Oana Mocioalca
Citations in the corpus
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2011, unknown): “Various approaches have been developed since, based mainly on Malliavin calculus [25, 2], pathwise integrals [65], rough paths [24], and white noise theory [31, 12, 10].”
- Stochastic Calculus with Respect to Gaussian Processes (2014, result): “The general structure of this proof is similar to the proof of [Ben03b, Theorem 5.3].”
- Fractional Processes as Models in Stochastic Finance (2010, background): “Alternatively, one can build an integral on Wick-Riemann sums [6, 10, 19, 31] and examine the SDE dXt = Xtd Bt, X0 = 1.”