# Tagged Questions

In mathematics, Brownian motion is described by the Wiener process; a continuous-time stochastic process named in honor of Norbert Wiener.

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### Correlation of Asynchronous Brownian Motion

I am trying to use the closing prices of the S&P 500 and the Nikkei Index to see how they are correlated (assuming they are exactly 12 hours apart). In order to test my method, I have generated ...
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### Monte Carlo, convexity and Risk-Neutral ZCB Pricing

I've built a simplistic Excel monte carlo model to price a zero-coupon bond, but it came up with a slightly unepxected result so I wanted to confirm whether my maths is just a little rusty or my model ...
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### What is the distribution of Brownian Bridge over a given time interval?

I know from Karatzas & Shreve (1991) that a Brownian Bridge $B(t)$ from $a$ to $b$ on time interval $[0,T]$ satisfies: $$B(t)=a(1-t/T) + b*t/T + [W(t) - W(T)*t/T]$$ where $W(t)$ is a standard ...
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### Soft: Interpretation Fractional BM in finance

Suppose we are in the BS framework. If we replace the Brownian Motion with a more general fractional Brownian motion therein, how can it be interpreted? That is what is a financial interpretation of ...
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### Monte Carlo simulation of Multifractional Brownian Motion in MATLAB

Code under is taken from http://en.literateprograms.org/Monte_Carlo_simulation_(Matlab) ...
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### Convolution of inverse gaussian and power law distributions

I am trying to understand how the first passage time density of Brownian motion with drift is modified by the presence of waiting times that are distributed as a power law In other words, what is the ...
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### Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate$P(B_t>0,B_s<0)$?

As stated, this is an interview questons Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate$P(B_t>0,B_s<0)$?