Fractional Calculus and Fractional Processes with Applications to Financial Economics

Written By Hasan Fallahgoul
Fractional Calculus and Fractional Processes with Applications to Financial Economics
  • Publsiher : Academic Press
  • Release : 06 October 2016
  • ISBN : 0128042842
  • Pages : 118 pages
  • Rating : 4/5 from 21 reviews
GET THIS BOOKFractional Calculus and Fractional Processes with Applications to Financial Economics


Read or download book entitled Fractional Calculus and Fractional Processes with Applications to Financial Economics written by Hasan Fallahgoul which was release on 06 October 2016, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization. Provides the necessary background for the book's content as applied to financial economics Analyzes the application of fractional calculus and fractional processes from deterministic and stochastic perspectives

Fractional Calculus and Fractional Processes with Applications to Financial Economics

Fractional Calculus and Fractional Processes with Applications to Financial Economics
  • Author : Hasan Fallahgoul,Sergio Focardi,Frank Fabozzi
  • Publisher : Academic Press
  • Release Date : 2016-10-06
  • Total pages : 118
  • ISBN : 0128042842
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Summary : Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the ...

Mathematical Economics

Mathematical Economics
  • Author : Vasily E. Tarasov
  • Publisher : MDPI
  • Release Date : 2020-06-03
  • Total pages : 278
  • ISBN : 0128042842
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Summary : This book is devoted to the application of fractional calculus in economics to describe processes with memory and non-locality. Fractional calculus is a branch of mathematics that studies the properties of differential and integral operators that are characterized by real or complex orders. Fractional calculus methods are powerful tools for ...

Fractional order Modeling of Nuclear Reactor From Subdiffusive Neutron Transport to Control oriented Models

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  • Author : Vishwesh Vyawahare,Paluri S. V. Nataraj
  • Publisher : Springer
  • Release Date : 2018-02-03
  • Total pages : 200
  • ISBN : 0128042842
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Summary : This book addresses the topic of fractional-order modeling of nuclear reactors. Approaching neutron transport in the reactor core as anomalous diffusion, specifically subdiffusion, it starts with the development of fractional-order neutron telegraph equations. Using a systematic approach, the book then examines the development and analysis of various fractional-order models representing ...

Multi Chaos Fractal and Multi Fractional Artificial Intelligence of Different Complex Systems

Multi Chaos  Fractal and Multi Fractional Artificial Intelligence of Different Complex Systems
  • Author : Yeliz Karaca,Dumitru Baleanu,Yu-Dong Zhang,Osvaldo Gervasi,Majaz Moonis
  • Publisher : Academic Press
  • Release Date : 2022-07-01
  • Total pages : 350
  • ISBN : 0128042842
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Summary : Multi-Chaos, Fractal and Multi-Fractional Artificial Intelligence of Different Complex Systems addresses different uncertain processes inherent in the complex systems, attempting to provide global and robust optimized solutions distinctively through multifarious methods, technical analyses, modeling, optimization processes, numerical simulations, case studies as well as applications including theoretical aspects of complexity. Foregrounding ...

Advances in Differential and Difference Equations with Applications 2020

Advances in Differential and Difference Equations with Applications 2020
  • Author : Dumitru Baleanu
  • Publisher : MDPI
  • Release Date : 2021-01-20
  • Total pages : 348
  • ISBN : 0128042842
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Summary : It is very well known that differential equations are related with the rise of physical science in the last several decades and they are used successfully for models of real-world problems in a variety of fields from several disciplines. Additionally, difference equations represent the discrete analogues of differential equations. These ...

Basic Theory

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  • Author : Anatoly Kochubei,Yuri Luchko
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2019-02-19
  • Total pages : 489
  • ISBN : 0128042842
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Summary : This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This first volume collects authoritative chapters covering the mathematical theory of fractional calculus, including fractional-order operators, integral transforms and equations, special functions, calculus of variations, and probabilistic and other ...

Applications in Engineering Life and Social Sciences

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  • Author : Dumitru Bǎleanu,António Mendes Lopes
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2019-04-01
  • Total pages : 292
  • ISBN : 0128042842
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Summary : This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This eighth volume collects authoritative chapters covering several applications of fractional calculus in engineering, life and social sciences, including applications in signal and image analysis, and chaos....

Recent Investigations of Differential and Fractional Equations and Inclusions

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  • Author : Snezhana Hristova
  • Publisher : MDPI
  • Release Date : 2021-02-22
  • Total pages : 190
  • ISBN : 0128042842
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Summary : During the past decades, the subject of calculus of integrals and derivatives of any arbitrary real or complex order has gained considerable popularity and impact. This is mainly due to its demonstrated applications in numerous seemingly diverse and widespread fields of science and engineering. In connection with this, great importance ...

Integral Transforms and Operational Calculus

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  • Author : H. M. Srivastava
  • Publisher : MDPI
  • Release Date : 2019-11-20
  • Total pages : 510
  • ISBN : 0128042842
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Summary : Researches and investigations involving the theory and applications of integral transforms and operational calculus are remarkably wide-spread in many diverse areas of the mathematical, physical, chemical, engineering and statistical sciences. This Special Issue contains a total of 36 carefully-selected and peer-reviewed articles which are authored by established researchers from many countries. ...

Boundary Value Problems For Fractional Differential Equations And Systems

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  • Author : Bashir Ahmad,Johnny L Henderson,Rodica Luca
  • Publisher : World Scientific
  • Release Date : 2021-02-18
  • Total pages : 468
  • ISBN : 0128042842
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Summary : This book is devoted to the study of existence of solutions or positive solutions for various classes of Riemann-Liouville and Caputo fractional differential equations, and systems of fractional differential equations subject to nonlocal boundary conditions. The monograph draws together many of the authors' results, that have been obtained and highly ...

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  • Author : Vasily E. Tarasov,Valentina V. Tarasova
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2021-01-18
  • Total pages : 602
  • ISBN : 0128042842
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Summary : This book presents the applications of fractional calculus, fractional operators of non-integer orders and fractional differential equations in describing economic dynamics with long memory. Generalizations of basic economic concepts, notions and methods for the economic processes with memory are suggested. New micro and macroeconomic models with continuous time are proposed ...

Fractional Differential Equations Inclusions and Inequalities with Applications

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  • Author : Sotiris K. Ntouyas
  • Publisher : MDPI
  • Release Date : 2020-11-09
  • Total pages : 518
  • ISBN : 0128042842
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Summary : During the last decade, there has been an increased interest in fractional differential equations, inclusions, and inequalities, as they play a fundamental role in the modeling of numerous phenomena, in particular, in physics, biomathematics, blood flow phenomena, ecology, environmental issues, viscoelasticity, aerodynamics, electrodynamics of complex medium, electrical circuits, electron-analytical chemistry, ...

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Advanced Mathematical Methods
  • Author : Francesco Mainardi,Andrea Giusti
  • Publisher : MDPI
  • Release Date : 2020-02-05
  • Total pages : 198
  • ISBN : 0128042842
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Summary : The many technical and computational problems that appear to be constantly emerging in various branches of physics and engineering beg for a more detailed understanding of the fundamental mathematics that serves as the cornerstone of our way of understanding natural phenomena. The purpose of this Special Issue was to establish ...

Risks

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  • Author : Mogens Steffensen
  • Publisher : MDPI
  • Release Date : 2021-06-03
  • Total pages : 170
  • ISBN : 0128042842
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Summary : This book is a collection of feature articles published in Risks in 2020. They were all written by experts in their respective fields. In these articles, they all develop and present new aspects and insights that can help us to understand and cope with the different and ever-changing aspects of risks. ...

Computational Science and its Applications

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  • Author : A. H. Siddiqi,R. C. Singh,G. D. Veerappa Gowda
  • Publisher : CRC Press
  • Release Date : 2020-10-21
  • Total pages : 394
  • ISBN : 0128042842
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Summary : Computational science is a rapidly growing multidisciplinary field concerned with the design, implementation, and use of mathematical models to analyze and solve real-world problems. It is an area of science that spans many disciplines and which involves the development of models and allows the use of computers to perform simulations ...