Financial markets, as observed in practice, are inherently incomplete due to a variety of structural and dynamic features. These include stochastic dynamics of state variables, discontinuities in asset paths, varying degrees of persistence in time series, and long-memory effects in probability distributions. Capturing these complexities requires sophisticated mathematical models that reflect the real-world deviations from classical financial theories.
Editorial: Financial modeling with frictions / Mancinelli, Daniele; Mazzon, Andrea; Oliva, Immacolata; Stefani, Ilaria. - In: FRONTIERS IN APPLIED MATHEMATICS AND STATISTICS. - ISSN 2297-4687. - (2025), pp. 1-3. [10.3389/fams.2025.1641147]
Editorial: Financial modeling with frictions
Oliva, Immacolata
;
2025
Abstract
Financial markets, as observed in practice, are inherently incomplete due to a variety of structural and dynamic features. These include stochastic dynamics of state variables, discontinuities in asset paths, varying degrees of persistence in time series, and long-memory effects in probability distributions. Capturing these complexities requires sophisticated mathematical models that reflect the real-world deviations from classical financial theories.| File | Dimensione | Formato | |
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