摘要翻译：
基于数学简单性和与市场经验数据一致的准则，建立了分数阶噪声驱动波动过程的随机波动模型。根据对数价格和波动率的随机发生器是独立的还是相同的，得到了两种不同杠杆行为的模型。本文研究了该模型的无套利性和不完备性。在此框架中还讨论了一些风险度量。
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英文标题：
《The fractional volatility model: No-arbitrage, leverage and risk
  measures》
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作者：
R. Vilela Mendes and Maria Jo\~ao Oliveira
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behavior. Here, the no-arbitrage and incompleteness properties of the model are studied. Some risk measures are also discussed in this framework.
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PDF链接：
https://arxiv.org/pdf/1007.2817