Stochastic Integrals

Tomas Björk

in Arbitrage Theory in Continuous Time

Second edition

Published in print March 2004 | ISBN: 9780199271269
Published online October 2005 | e-ISBN: 9780191602849 | DOI:

Series: Oxford Finance Series

Stochastic Integrals

Show Summary Details


This chapter discusses the modelling of asset prices as continuous time stochastic processes. Diffusion processes and stochastic differential equations are used as building blocks to obtain the most complete and elegant theory. Practice exercises are included.

Keywords: asset prices; stochastic processes; diffusion processes; differential equations; continuous time

Chapter.  10459 words.  Illustrated.

Subjects: Financial Markets

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.