Elements of Stochastic Calculus

Patrice Poncet () and Roland Portait
Additional contact information
Patrice Poncet: ESSEC Business School
Roland Portait: ESSEC Business School

Chapter 18 in Capital Market Finance, 2022, pp 765-796 from Springer

Abstract: Abstract This chapter presents the elements of calculus relevant to Itô processes, which are extensively used in the theory and techniques of modern finance. It focuses on computational tools as these are needed to understand many chapters. More detailed mathematical exposition is to be found in footnotes and in the following chapter. After providing several general definitions about stochastic processes of various types (Sect. 18.1), we examine Brownian motions (Sect. 18.2), one-dimensional Itô and diffusion processes (Sect. 18.3), properties of functions of stochastic processes and the rules of Itô differential and integral calculus (Sects. 18.4 and 18.5) and, briefly, Poisson-like processes that present jumps occurring at random times (Sect. 18.6).

Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-84600-8_18

Ordering information: This item can be ordered from
http://www.springer.com/9783030846008

DOI: 10.1007/978-3-030-84600-8_18

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().