| dc.date.accessioned | 2013-03-12T08:20:26Z | |
| dc.date.available | 2013-03-12T08:20:26Z | |
| dc.date.issued | 2003 | en_US |
| dc.date.submitted | 2009-12-17 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10657 | |
| dc.description.abstract | We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applications to financial markets where the prices are described as solutions of stochastic differential equations driven by such processes. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2003). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Fractional Brownian Motion in Finance | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-12-17 | en_US |
| dc.rights.holder | Copyright 2003 The Author(s) | |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23772 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97979 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10657/1/pm28-03.pdf | |