MSC 2010: 26A33, 05C72, 33E12, 34A08, 34K37, 35R11, 60G22The fractional calculus (FC) is an area of intensive research and development. In a previous paper and poster we tried to exhibit its recent state, surveying the period of 1966-2010. The poster accompanying the present note illustrates the major contributions during the period 1695-1970, the "old history" of FC.

MSC 2010: 26A33, 05C72, 33E12, 34A08, 34K37, 35R11, 60G22In the last decades fractional calculus became an area of intense re-search and development. The accompanying poster illustrates the major contributions during the period 1966-2010.

Given a two-dimensional fractional multiplicative process ${\left(F_t\right)}_{t\in [0,1]}$ determined by two Hurst exponents $H_1$ and $H_2$, we show that there is an associated uniform Hausdorff dimension result for the images of subsets of $[0,1]$ by $F$ if and only if $H_1=H_2$.

We study actuarial methods of option pricing in a fractional Black-Scholes model with time-dependent volatility. We interpret the option as a potential loss and we show that the fair premium needed to insure this loss coincides with the expectation of the discounted claim payoff under the average risk neutral measure.

We analyze the Rosenblatt process which is a selfsimilar process with stationary increments and which appears as limit in the so-called Non Central Limit Theorem (Dobrushin and Majòr (1979), Taqqu (1979)). This process is non-Gaussian and it lives in the second Wiener chaos. We give its representation as a Wiener-Itô multiple integral with respect to the Brownian motion on a finite interval and we develop a stochastic calculus with respect to it by using both pathwise type calculus and Malliavin...

A stochastic “Fubini” lemma and an approximation theorem for integrals on the plane are used to produce a simulation algorithm for an anisotropic fractional Brownian sheet. The convergence rate is given. These results are valuable for any value of the Hurst parameters $({\alpha }_1,{\alpha }_2)\in {]0,1[}^2,{\alpha }_i\ne \frac{1}{2}.$ Finally, the approximation process is iterative on the quarter plane ${ℝ}_{+}^2.$ A sample of such simulations can be used to test estimators of the parameters αi,i = 1,2.

We prove, by means of Malliavin calculus, the convergence in $L^2$ of some properly renormalized weighted quadratic variations of bi-fractional Brownian motion (biFBM) with parameters $H$ and $K$, when $H\<1/4$ and $K\in (0,1]$.