TOOLS FOR CONTINUOUS-TIME MODELS

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 3 in Pricing Derivative Securities, 2000, pp 93-137 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Wiener ProcessesDefinition and BackgroundEssential PropertiesItô Integrals and ProcessesA Motivating ExampleIntegrals with Respect to Brownian MotionsItô ProcessesItô's FormulaTools for Martingale PricingGirsanov's Theorem and Changes of MeasureRepresentation of MartingalesTools for Discontinuous Processes“J” ProcessesMore General Processes

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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