Optimal approximations of power laws with exponentials: application to volatility models with long memory

Authors: Thierry Bochud ^a; Damien Challet ^b

Affiliations:	^a Nestl Capital Advisers, 1800 Vevey, Switzerland
	^b Nomura Centre for Quantitative Finance, Mathematical Institute, Oxford University, Oxford, UK

DOI: 10.1080/14697680701278291

Publication Frequency: 8 issues per year

Published in: journal

Quantitative Finance, Volume 7, Issue 6 December 2007 , pages 585 - 589

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

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