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Parameter Estimation in Fractional Diffusion Models
part of the Bocconi & Springer Series series
- Binding:
- Paperback
- Pages:
- 390
- Published:
- June 5, 2019
- Edition:
- 12017
- Dimensions:
- 155x235x0 mm.
- Weight:
- 629 g.
Delivery:
1-2 weeks
Expected delivery: December 6, 2024
Description of Parameter Estimation in Fractional Diffusion Models
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.
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