2009-05-26–2009-05-28 - Helsinki, Helsinki University of Technology (Finland) - Department of Mathematics and Systems Analysis, …
The purpose of the workshop is to survey some recent developments in non-semimartingales like fractional Brownian motion in stochastic finance. The use of non-semimartingales is partially motivated by pricing models with transaction costs, or pricing non-tradeable assets, like electricity.
The...