Fractional smoothness and applications in finance
Probability
2010-04-22 v1 Risk Management
Abstract
This overview article concerns the notion of fractional smoothness of random variables of the form , where is a certain diffusion process. We review the connection to the real interpolation theory, give examples and applications of this concept. The applications in stochastic finance mainly concern the analysis of discrete time hedging errors. We close the review by indicating some further developments.
Cite
@article{arxiv.1004.3577,
title = {Fractional smoothness and applications in finance},
author = {Stefan Geiss and Emmanuel Gobet},
journal= {arXiv preprint arXiv:1004.3577},
year = {2010}
}
Comments
Chapter of AMAMEF book. 20 pages.