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Mathematical finance / Semimartingale / Fractional Brownian motion / Risk-neutral measure / Wiener process / Quadratic variation / Brownian motion / Normal distribution / No free lunch with vanishing risk / Statistics / Stochastic processes / Martingale theory


Mathematical Finance, Vol. 7, No. 1 (January 1997), 95–105 ARBITRAGE WITH FRACTIONAL BROWNIAN MOTION
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Document Date: 2006-08-22 10:40:28

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City

Malden / Oxford / /

Company

FRACTIONAL BROWNIAN MOTION L. C. / X T a.s. / /

Country

United Kingdom / United States / /

Facility

University of Bath / /

IndustryTerm

power-law kernel / mathematical finance / /

Organization

University of Bath / Bath / ARBITRAGE WITH FRACTIONAL BROWNIAN MOTION L. C. G. ROGERS1 School of Mathematical Sciences / /

Person

Walter Willinger / /

Position

author / Vp / present author / /

ProvinceOrState

Massachusetts / /

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