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Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation

In: 2012 Recent Advances in Financial Engineering Proceedings of the International Workshop on Finance 2012

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  • Chun Ming Tam

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]…

Suggested Citation

  • Chun Ming Tam, 2014. "Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Takashi Shibata (ed.), 2012 Recent Advances in Financial Engineering Proceedings of the International Workshop on Finance 2012, chapter 7, pages 133-176, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814571647_0007
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