Fractional Brownian motion and applications
This seminar was given 25 May 2009 as part of the PhD seminar series organised by the School of Economics & Finance of the University of St Andrews.
The fractional Brownian motion (fBm) is an extension of the classical Brownian motion that allows its disjoint increments to be correlated. In the last decade, and motivated by empirical results, several authors have studied models driven by the fBm. This seminar introduces the basic concepts and techniques regarding fBm, and discusses some of its applications in finance (how it can be used to describe the long and the short-time behaviour of the implied volatility) and physics (its connection with fractal analysis in surface growth modeling).
Videos are in WMV format. Handouts are PDF.
About the Speaker
Dr Elisa Alos is Associate Professor in the Faculty of Economics at the University Pompeu Fabra (Spain). Her research interests lie in stochastic calculus, stochastic partial differential equations and mathematical finance.