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In this tutorial you will learn what is Brownian motion and its extension to Arithmetic Brownian Motion (ABM) and Geometric Brownian motion (GBM). You will also learn how to simulate and calibrate AGM, GBM. To understand this tutorial, you need to know at least, what normal distribution and log-normal distribution are. Calculus is not required.
Contents
What is Brownian motion?
What is Arithmetic Brownian Motion?
What is Geometric Brownian Motion?
Simulation of Brownian motion in Excel
Simulation of ABM in Excel
Simulation of GBM in Excel
Parameters Estimation in ABM
Parameters Estimation in GBM
Summary
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These tutorial is copyrighted .
Preferable reference for this tutorial is
Teknomo, Kardi. (2017) Stochastic Process Tutorial .
http://people.revoledu.com/kardi/tutorial/StochasticProcess/