Finite stochastic processes

Imme van den BERG
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Imme van den BERG: Universidade de Évora, Portugal

Chapter 3 in Principles of Infinitesimal Stochastic and Financial Analysis, 2000, pp 31-81 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Process and trajectoriesThe discrete Wiener walkRecombining processes; the discrete surfaceConditional probability and conditional expectationMarkov processes, binomial processesAdapted random variablesMartingales and trendsExercises

Keywords: Mathematical Finance; Cox-Ross-Rubinstein Model; Black-Scholes Option-Pricing; Hedging Strategy; Martingales; Stochastic Processes; Geometric Brownian Motion; Nonstandard Analysis; Asymptotic Methods; Orders of Magnitude (search for similar items in EconPapers)
Date: 2000
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