000			02994nam a22003857a 4500
001			sulb0069485
003			BD-SySUS
005			20190520122417.0
008			170809t20172017ne a b 001 0 eng d
010			_a 2016499978
020			_a9780128042489
020			_a0128042486
040			_aBTCTA _beng _cBTCTA _erda _dYDXCP _dBDX _dFTU _dOCLCO _dOCLCF _dJHE _dDLC _dBD-SySUS
050	0	0	_aQA314 _b.F35 2017
082	0	4	_a515.83 _223
100	1		_aFallahgoul, Hasan A., _eauthor. _930792
245	1	0	_aFractional calculus and fractional processes with applications to financial economics : _btheory and application / _cHasan A. Fallahgoul, Sergio M. Focardi, Frank J. Fabozzi.
300			_ax, 105 pages : _billustrations ; _c24 cm
504			_aIncludes bibliographical references (pages 97-101) and index.
505	0		_aFractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application; Copyright; Dedication ; About the Authors; Contents; List of illustrations; Part I Theory; 1 Fractional calculus and fractional processes: an overview; 1.1 Fractional calculus; 1.2 Fractional processes; 2 Fractional Calculus; 2.1 Different definitions for fractional derivatives; 2.2 Computation with Matlab; Key points of the chapter ; 3 Fractional Brownian Motion; 3.1 Definition; 3.2 Long-Range Dependency; 3.3 Self-Similarity; 3.4 Existence of Arbitrage
505	8		_aKey points of the chapter 4 Fractional Diffusion and Heavy Tail Distributions: Stable Distribution; 4.1 Univariate Stable Distribution; 4.2 Multivariate Stable Distribution; Key points of the chapter ; 5 Fractional Diffusion and Heavy Tail Distributions: Geo-Stable Distribution; 5.1 Univariate Geo-stable Distribution; 5.2 Multivariate Geo-stable Distribution; Key points of the chapter ; Part II Applications; 6 Fractional Partial Differential Equation and Option Pricing; 6.1 Option Pricing and Brownian Motion; 6.2 Option Pricing and the L�evy Process; Key points of the chapter
505	8		_a7 Continuous-Time Random Walk and Fractional Calculus7.1 Continuous-Time Random Walk; 7.2 Fractional Calculus and Probability Density Function; 7.3 Applications; Key points of the chapter ; 8 Applications of Fractional Processes; 8.1 Fractionally Integrated Time Series; 8.2 Stock-Returns and Volatility Processes; 8.3 Interest-Rate Processes; 8.4 Order Arrival Processes; Key points of the chapter ; References; Index ; Back Cover
650		0	_aFractional calculus. _930793
650		0	_aFinance. _930794
650		0	_aEconomics. _930795
650		7	_aMATHEMATICS / Calculus. _2bisacsh _930796
650		7	_aMATHEMATICS / Mathematical Analysis. _2bisacsh _930797
650		7	_aBUSINESS & ECONOMICS / Business Mathematics. _2bisacsh _930798
650		7	_aEconomics. _2fast _930795
650		7	_aFinance. _2fast _930794
650		7	_aFractional calculus. _2fast _930793
700	1		_aFocardi, Sergio M., _eauthor. _930799
700	1		_aFabozzi, Frank J., _eauthor. _97467
942			_2ddc _cBK
999			_c73811 _d73811