Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation

Chun Ming Tam

Chapter 7 in Recent Advances in Financial Engineering 2012:Proceedings of the International Workshop on Finance 2012, 2014, pp 133-176 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Fractional Brownian motion (fBm) was first introduced within a Hilbert space framework by Kolmogorov [1], and further studied and coined the name ‘fractional Brownian motion’ in the 1968 paper by Mandelbrotand Van Ness [2]…

Keywords: Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance (search for similar items in EconPapers)
Date: 2014
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