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Original Articles

Financial Markets with Memory I: Dynamic Models

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Pages 275-300 | Received 29 Sep 2003, Accepted 08 Sep 2004, Published online: 07 Sep 2017

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John A. D. Appleby, Markus Riedle & Catherine Swords. (2012) Bubbles and crashes in a Black–Scholes model with delay. Finance and Stochastics 17:1, pages 1-30.
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Alexander D. Kolesnik & Nikita RatanovAlexander D. Kolesnik & Nikita Ratanov. 2013. Telegraph Processes and Option Pricing. Telegraph Processes and Option Pricing 89 125 .
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John A. D. Appleby, Xuerong Mao & Huizhong Wu. (2010) On the Almost Sure Running Maxima of Solutions of Affine Stochastic Functional Differential Equations. SIAM Journal on Mathematical Analysis 42:2, pages 646-678.
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M. Ghahramani & A. Thavaneswaran. (2009) Combining estimating functions for volatility. Journal of Statistical Planning and Inference 139:4, pages 1449-1461.
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J A D Appleby & H Wu. (2008) Exponential growth and Gaussian—like fluctuations of solutions of stochastic differential equations with maximum functionals. Journal of Physics: Conference Series 138, pages 012002.
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Isabel Casas & Jiti Gao. (2008) Econometric estimation in long-range dependent volatility models: Theory and practice. Journal of Econometrics 147:1, pages 72-83.
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David Reynolds & John Appleby. (2008) Decay Rates of Solutions of Linear Stochastic Volterra Equations. Electronic Journal of Probability 13:none.
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Nikita Ratanov. (2007) An option pricing model based on jump telegraph processes. PAMM 7:1, pages 2080009-2080010.
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Nikita Ratanov. (2007) Jump Telegraph Processes and Financial Markets with Memory. Journal of Applied Mathematics and Stochastic Analysis 2007, pages 1-19.
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Akihiko Inoue, Yumiharu Nakano & Vo Anh. (2007) Binary market models with memory. Statistics & Probability Letters 77:3, pages 256-264.
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A. Inoue, Y. Nakano & V. Anh. (2006) Linear filtering of systems with memory and application to finance. Journal of Applied Mathematics and Stochastic Analysis 2006, pages 1-26.
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