Chapter

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: http://dx.doi.org/10.1093/0199271267.003.0004

Series: Oxford Finance Series

Stochastic Integrals

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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

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