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Results tagged with stochastic-calculus
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user 5371
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
6
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Accepted
Föllmer: "Calcul d'Ito sans probabilités" in English or German?
Föllmer's approach was mainly adopted by specialists in Mathematical Finance.
Have a look at Introduction to Stochastic Calculus for Finance by D. Sondermann. This is an intro lecture course based o …
- 22.3k
32
votes
Accepted
Intuition and/or visualisation of Itô integral/Itô's lemma
I find the intuitive explanation in Paul Wilmott on Quantitative Finance particularly appealing.
Fix a small $h>0$. The stochastic integral
$$\int_0^{h} f(W(t))\ dW(t)=\lim\limits_{N\to\infty}\sum\lim …
- 22.3k