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经验模式分解算法是仿真分数阶高斯噪声(fGn)和分数阶布朗运动(fBm)的新方法，
利用MATLAB的GUI开发环境，设计和实现了基于经验模式分解的分数阶随机序列仿真系统。-Empirical mode decomposition algorithm is a simulation of fractional Gaussian noise (fGn) and fractional Brownian motion (fBm) of the new method, using MATLAB
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本文考虑了期权定价方面的三个问题：期权的保险精算定价方法；分数布朗运动与Poisson跳的股票价格模型的保险精算定价；基于模糊信息处理的期权定价。 首先，利用保险精算方法给出了汇率连动期权的定价公式，获得了欧式看涨期权和看跌期定价公式及平价公式。 其次，利用公平保费原则和价格过程的实际概率测度推广了Mogens bladt 和Hina Hviid Rydberg 关于欧式期权定价的结果。假定股票价格过程遵循分数布朗运动和带非时齐Poisson 跳跃的扩散过程,并且股票预期收益率、无风险利率均为时
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Simulates a Multifractal Model of Asset Return using a multiplicative lognormal cascade-Simulates a Multifractal Model of Asset Return using a multiplicative
lognormal cascade
See the following papaer
A Multifractal Model of Asset Retur
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fractional Brownian motion
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分数布朗运动驱动下带比例交易成本的期权定价Driven by fractional Brownian motion with proportional transaction costs of option pricing-Driven by fractional Brownian motion with proportional transaction costs of option pricing
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一类双分数Brownian运动的广义二次协变差_英文_.-A class of generalized two-fractional Brownian motion in English secondary co-variation _ _.
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Fractional Brownian Motion function for Linux.
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Contents
Introduction
Original Black-Scholes Formula
Fractional Brownian Motion
Applications of Wick-Itˆ o Stochastic Calculus in Finance
Other Developments & Future Works
References
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Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
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海杂波背景下的分形特征，目标检测，赫斯特指数(HEST = wfbmesti(X) returns a row vector HEST which contains three estimates of the fractal index H of the signal X supposed to come from a fractional Brownian motion of parameter H.)
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