Wang, Jixia; Xiao, Xiaofang; Li, Chao Least squares estimations for approximate fractional vasicek model driven by a semimartingale. (English) Zbl 07703403 Math. Comput. Simul. 208, 207-218 (2023). MSC: 62-XX 90-XX PDFBibTeX XMLCite \textit{J. Wang} et al., Math. Comput. Simul. 208, 207--218 (2023; Zbl 07703403) Full Text: DOI
Yue, Jia; Wang, Ming-Hui; Huang, Nan-Jing; Yang, Ben-Zhang Asset prices with investor protection and past information. (English) Zbl 07668856 J. Ind. Manag. Optim. 19, No. 4, 2704-2741 (2023). MSC: 91G50 60G22 60H30 PDFBibTeX XMLCite \textit{J. Yue} et al., J. Ind. Manag. Optim. 19, No. 4, 2704--2741 (2023; Zbl 07668856) Full Text: DOI arXiv
Kang, Jian-hao; Yang, Ben-zhang; Huang, Nan-jing Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility. (English) Zbl 07570934 Physica A 532, Article ID 121871, 14 p. (2019). MSC: 82-XX 91G30 91G20 91B70 PDFBibTeX XMLCite \textit{J.-h. Kang} et al., Physica A 532, Article ID 121871, 14 p. (2019; Zbl 07570934) Full Text: DOI
Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove On the approximation of Lévy driven Volterra processes and their integrals. (English) Zbl 1422.60064 J. Math. Anal. Appl. 476, No. 1, 120-148 (2019). MSC: 60G22 60G51 60H05 PDFBibTeX XMLCite \textit{G. Di Nunno} et al., J. Math. Anal. Appl. 476, No. 1, 120--148 (2019; Zbl 1422.60064) Full Text: DOI arXiv
Yue, Jia; Huang, Nan-jing Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications. (English) Zbl 1415.60040 Comput. Math. Appl. 75, No. 8, 2955-2977 (2018). MSC: 60G22 60B20 91G80 PDFBibTeX XMLCite \textit{J. Yue} and \textit{N.-j. Huang}, Comput. Math. Appl. 75, No. 8, 2955--2977 (2018; Zbl 1415.60040) Full Text: DOI arXiv
Pospíšil, Jan; Sobotka, Tomáš Market calibration under a long memory stochastic volatility model. (English) Zbl 1396.91760 Appl. Math. Finance 23, No. 5-6, 323-343 (2016). MSC: 91G20 60G22 60J75 PDFBibTeX XMLCite \textit{J. Pospíšil} and \textit{T. Sobotka}, Appl. Math. Finance 23, No. 5--6, 323--343 (2016; Zbl 1396.91760) Full Text: DOI
Mrázek, Milan; Pospíšil, Jan; Sobotka, Tomáš On calibration of stochastic and fractional stochastic volatility models. (English) Zbl 1346.91238 Eur. J. Oper. Res. 254, No. 3, 1036-1046 (2016). MSC: 91G20 60H30 35R60 35R11 62P05 91B70 91G80 PDFBibTeX XMLCite \textit{M. Mrázek} et al., Eur. J. Oper. Res. 254, No. 3, 1036--1046 (2016; Zbl 1346.91238) Full Text: DOI
Areerak, Tidarut Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters. (English) Zbl 1298.91154 ISRN Appl. Math. 2014, Article ID 791418, 6 p. (2014). MSC: 91G20 91G70 91G60 91B25 60G22 PDFBibTeX XMLCite \textit{T. Areerak}, ISRN Appl. Math. 2014, Article ID 791418, 6 p. (2014; Zbl 1298.91154) Full Text: DOI
Nguyen Tien Dung Fractional geometric mean-reversion processes. (English) Zbl 1215.60030 J. Math. Anal. Appl. 380, No. 1, 396-402 (2011). MSC: 60G22 60H07 60H05 PDFBibTeX XMLCite \textit{Nguyen Tien Dung}, J. Math. Anal. Appl. 380, No. 1, 396--402 (2011; Zbl 1215.60030) Full Text: DOI
Nguyen Tien Dung; Tran Hung Thao An approximate approach to fractional stochastic integration and its applications. (English) Zbl 1298.60060 Braz. J. Probab. Stat. 24, No. 1, 57-67 (2010). MSC: 60H05 60G22 60H30 PDFBibTeX XMLCite \textit{Nguyen Tien Dung} and \textit{Tran Hung Thao}, Braz. J. Probab. Stat. 24, No. 1, 57--67 (2010; Zbl 1298.60060) Full Text: DOI Euclid
Tran Hung Thao An approximate approach to fractional analysis for finance. (English) Zbl 1104.60033 Nonlinear Anal., Real World Appl. 7, No. 1, 124-132 (2006). Reviewer: Evelyn Buckwar (Berlin) MSC: 60H10 60G18 60G22 91G20 91G80 PDFBibTeX XMLCite \textit{Tran Hung Thao}, Nonlinear Anal., Real World Appl. 7, No. 1, 124--132 (2006; Zbl 1104.60033) Full Text: DOI