Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/32197
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dc.contributor.authorBonnet, F.-
dc.contributor.authorVan Der Hoek, J.-
dc.contributor.authorAllison, A.-
dc.contributor.authorAbbott, D.-
dc.contributor.editorAbbott, D.-
dc.contributor.editorBouchard, J.P.-
dc.contributor.editorGabaix, X.-
dc.contributor.editorMcCaulty, J.L.-
dc.date.issued2005-
dc.identifier.citationNoise and fluctuations in econophysics and finance : 24-26 May, 2005, Austin, Texas, USA / Derek Abbott, Jean-Philippe Bouchaud, Xavier Gabaix, Joseph L. McCauley (eds.), pp. 66-85-
dc.identifier.isbn0-8194-5843-0-
dc.identifier.issn0277-786X-
dc.identifier.urihttp://hdl.handle.net/2440/32197-
dc.description© 2005 COPYRIGHT SPIE--The International Society for Optical Engineering-
dc.description.abstractIt is well established that volatility has a memory of the past, moreover it is found that volatility correlations are long ranged. As a consequence the volatility cannot be characterized by a single correlation time. Recent empirical work suggests that the volatility correlation functions of various assets actually decay as a power law.-
dc.description.statementofresponsibilityFrederic D. R. Bonnet, John van der Hoek, Andrew Allison, and Derek Abbott-
dc.language.isoen-
dc.publisherSPIE-INT SOC OPTICAL ENGINEERING-
dc.relation.ispartofseriesProceedings of SPIE--the International Society for Optical Engineering ; 5848.-
dc.titlePath integrals in fluctuating markets with a non-Gaussian option pricing model-
dc.typeConference paper-
dc.contributor.conferenceNoise and fluctuations in econophysics and finance (2005 : Austin, Texas)-
dc.identifier.doi10.1117/12.618664-
pubs.publication-statusPublished-
dc.identifier.orcidAllison, A. [0000-0003-3865-511X]-
dc.identifier.orcidAbbott, D. [0000-0002-0945-2674]-
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Electrical and Electronic Engineering publications

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