## 40 Citations

### Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study

- Mathematics
- 2007

### Applications of Physics to Finance and Economics: Returns, Trading Activity and Income

- Economics
- 2005

This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to…

### Self-Financing, Replicating Hedging Strategies, an incomplete thermodynamic analogy

- Economics
- 2002

In the theory of riskfree hedges in continuous time finance, one can start with the delta-hedge and derive the option pricing equation, or one can start with the replicating, self-financing hedging…

### Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets

- EconomicsProceedings of the National Academy of Sciences
- 2007

It is explicitly shown that the assumption that the underlying stochastic process has stationary increments for the Euro–Dollar exchange rate is invalid, and methods to evaluate the dynamical scaling index and the scaling function empirically are introduced.

### 1 ( Work in progress ) Econophysics and Levy Processes : Statistical implications for financial economics

- Economics
- 2010

This paper deals with the use of Levy processes in financial economics. More precisely, I will emphasize theoretical features of Levy processes that could be in opposition with a plausible empirical…

## References

SHOWING 1-10 OF 33 REFERENCES

### A theory for Fluctuations in Stock Prices and Valuation of their Options

- Economics
- 2002

A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends…

### Pricing Risky Options Simply

- Mathematics
- 1998

This paper is a follow-up of (Aurell and Życzkowski, 1996) [2] and (Aurell et al. 1996) [1]. We show that the prescription of pricing option by minimizing risk can be solved in a way that is quite…

### Options, Futures, and Other Derivatives

- Economics
- 1989

Contents: Introduction. Futures Markets and the Use of Futures for Hedging. Forward and Futures Prices. Interest Rate Futures. Swaps. Options Markets. Properties of Stock Option Prices. Trading…

### Mathematical models in finance

- Economics
- 1994

Influence of Mathematical Models in Finance on Practice: Past, Present and Future Applied Mathematics and Finance Stock Price Fluctuations as a Diffusion in Random Environment A Note on…

### The Pricing of Options and Corporate Liabilities

- EconomicsJournal of Political Economy
- 1973

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this…

### Portfolio optimization and the random magnet problem

- Economics
- 2002

Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross--correlations…

### The Random Character of Stock Market Prices.

- Economics
- 1965

This work is known to a generation of financial economists having marked the beginnings of the field known as financial econometrics. This edition sets out to show that the text, first written in…