Finance and Stochastics
SSCI-ISI SCOPUS (2004-2023)SCIE-ISI
0949-2984
Cơ quản chủ quản: Springer Verlag , Springer Heidelberg
Lĩnh vực:
Statistics, Probability and UncertaintyStatistics and ProbabilityFinance
Các bài báo tiêu biểu
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
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Arbitrage in fractional Brownian motion models
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We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional Brownian motion with drift or an exponential fractional Brownian motion with drift. Then we show how arbitrage can be excluded from these models by restricting the class of trading strategies.
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