Martingales and Stochastic Integrals

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 5 in A Benchmark Approach to Quantitative Finance, 2006, pp 163-203 from Springer

Abstract: Abstract In this chapter we consider a class of continuous stochastic processes, called martingales, which play a central role in finance. We also define the gains realized from trading as a stochastic integral. Stochastic integration and martingales provide key tools for the analysis of the continuous time evolution of financial markets.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-47856-0_5

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DOI: 10.1007/978-3-540-47856-0_5

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