Standard Brownian Motion / Wiener Process
1. Context
In this video, we take a look at the Standard Brownian Motion (Wiener Process) – an important building block that we encounter in the four readings on Interest Rate Models (FRM Part 2, Market Risk). Using the properties of normal distribution as a starting point, we explore properties of the Wiener Process, both for it’s changes over small time increments as well as its level at a future time slice. The details of the reading in which this topic appears are given below:
| Area | Market Risk, Valuation and Risk Models |
| Reading | Term Structure Models |
| Reference | Bruce Tuckman and Angel Serrat, Chapter 7-10. Term Structure Models In Fixed Income Securities, 3rd Edition,, (Hoboken, NJ: John Wiley & Sons, 2011). |