I have studied option pricing using Geometric Brownian Motion to generate sample paths. Because of the normal distribution, it is easy to create a covariance matrix and get correlated asset returns.
I am interested in learning more about Mandelbrot's Multi Fractal model of asset returns and it's applications. From what I can find, there exist much work about forecasting volatility using the multi fractal model.
For my purposes, I am more interested in being able to generate sample paths, i.e. produce time series data. Further I would be interested in somehow modeling correlation between assets.
Does there exist papers dealing with these problems from the viewpoint of the multi fractal model of asset returns?