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Publications by L. Cecere

A Numerical Method to Compute the Volatility of the Fractional Brownian Motion Implied by American Options

International Journal of Applied Mathematics

Computational Theory

English

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Stochastic Volatility Models With Volatility Driven by Fractional Brownian Motions

Communications in Information and Systems

English

A Fractional Linear System View of the Fractional Brownian Motion

Nonlinear Dynamics

Systems Engineering

Mechanical Engineering

Electronic Engineering

Applied Mathematics

Ocean Engineering

Aerospace Engineering

English

On Hedging European Options in Geometric Fractional Brownian Motion Market Model

Statistics & Decisions

English

Foreign Exchange, Fractional Cointegration and the Implied–realized Volatility Relation

Journal of Banking and Finance

English

A Series Expansion of Fractional Brownian Motion

Probability Theory and Related Fields

English

Super Fractional Brownian Motion, Fractional Super Brownian Motion and Related Self-Similar (Super) Processes

English

Approximation of Random Variables by Functionals of the Increments of a Fractional Brownian Motion

Theory of Probability and Mathematical Statistics

English

Convergence of Delay Differential Equations Driven by Fractional Brownian Motion

Journal of Evolution Equations

English

A Fractional Model to Describe the Brownian Motion of Particles and Its Analytical Solution

Advances in Mechanical Engineering

Mechanical Engineering

English