Manipulating Stochastic Differential Equations and Stochastic Integrals

Carl Chiarella, Xuezhong (Tony) He () and Christina Sklibosios Nikitopoulos
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Christina Sklibosios Nikitopoulos: University of Technology Sydney

Chapter Chapter 5 in Derivative Security Pricing, 2015, pp 93-110 from Springer

Abstract: Abstract Many of the calculations of derivative security pricing involve formal manipulations of stochastic differential equations and stochastic integrals. This chapter derives those that are most frequently used. We also consider transformation of correlated Wiener processes to uncorrelated Wiener processes for higher dimensional stochastic differential equations.

Keywords: Stochastic Differential Equation; Wiener Process; Stochastic Integral; Stochastic Calculus; Transition Probability Density (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-45906-5_5

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DOI: 10.1007/978-3-662-45906-5_5

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