FINANCIAL MODELLING WITH MULTIVARIATE MIXED FRACTIONAL BROWNIAN MOTION

Abstract

In this paper we introduce a multivariate mixed fractional Brownian motion model for the study of financial data. We study the problem of replication of multivariate European derivatives under this model. We also show that this model can be used to generate some scale-dependent correlation structures, and in particular, it reproduces a well known empirical fact present in financial data known as the Epps effect.