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Chapter 6: Stochastic Calculus

mho1 Stochastic Processes and FInance Masters Inglés 13 fichas

Fichas del conjunto (13)

1Ito process
2Immediate properties of Ito processes (two)
3equivalent notation for Ito process (M, t \geq 0) $equivalent notation for Ito process (M, t \geq 0)$
4C_{1,2} $C_{1,2}$
5Ito's formula
6Ito's product formula d(M_1 M_2)
7Ito table
8differential powers of M d[M(t)^n]
9when p is an arbitrary polynomial, what is d(p(M(t))?
10Martingale Representation Theorem (proof non-examinable)
11Levy's characterisation of Brownian motion
12Girsanov's Theorem
13—Proof not directly examinable

Descripción: Masters Stochastic Processes and FInance Fichas sobre Chapter 6: Stochastic Calculus, creado por mho1 el 07/06/2015.
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Etiquetas: stochastic calculus
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