Fractional calculus and fractional processes with applications to financial economics Hasan A. Fallahgoul, Sergio M. Focardi, Frank J. Fabozzi

Fractional Calculus and Fractional Processes with Applications to Financial Economics presents a comprehensive history of fractional calculus which dates back to 1695 when calculus was invented by Gottfried Wilhelm Leibniz. Due to the absence of an interpretation of fractional calculus until the second half of the twentieth century, there was little, if any, research in this area. During the past three decades, the area of fractional calculus has gained considerable popularity as real-world applications for this mathematical tool were identified, particularly, in more recent years, in financial economics. This book provides a suitable reference for the application of fractional calculus to the field of financial economics, also offering a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus to asset pricing, financial time series analysis, stochastic volatility modeling, and portfolio optimization. Provides the necessary background for the book's content in its application in financial economics Analyzes the application of fractional calculus from two perspectives, deterministic and stochastic.