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This paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochas...

Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...

This book is an ambitious effort by three well-known and well-respected scholars to fill an acknowledged void in the literature—a text covering the burgeoning field of empirical finance. As the authors note in the pref...

Subjects / keywords: asset pricing, derivative pricing and hedging, disruptive financial models, extreme risks and insurance, high frequency and algorithmic trading, taxation; Law: Law in general. Comparative and uniform law. Jurisprudence: ...

One of the problems which has plagued those attempting to predict the behavior of capital markets is the absence of a body of positive microeconomic theory dealing with conditions of risk. Although many useful insights c...