Stochastic differential equations in finance
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The paper reviews the published stochastic models of stock and bond prices. Particular attention is paid to the partial differential equations which result from this analysis and to methods of numerical solution.
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Cites work
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Cited in
(35)- Stochastic differential equations for compounded risk reserves
- Stochastic models of financial mathematics
- A stochastic model for the financial market with discontinuous prices
- Stochastic calculus of variations in mathematical finance.
- Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio
- Stochastic modelling in finance
- Delay Stochastic Models in Finance
- Stochastic differential equations for capital market models
- Stochastic modelling in finance and Monte Carlo simulations with R. D: Stochastic differential equation model
- Stochastic Partial Differential Equations and Portfolio Choice
- A stochastic partial differential equation for stock-price distributions
- The stochastic growth equation: the growth of funds
- Stochastic modeling in finance and Monte Carlo simulations with R. III: Stochastic log-linear model
- A Stochastic Control Approach to the Pricing of Options
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- PDE models for pricing stocks and options with memory feedback
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- Stochastic differential equations in finance
- Modelling of stock price changes: a real analysis approach
- Stochastic dynamical analysis, Monte-Carlo simulations, and waves dynamics of a coupled volatility and option pricing model under Brownian motion
- Fractional stochastic differential equations with applications to finance
- Modeling financial time series through second-order stochastic differential equations
- The stochastic dynamic exponential and geometric Brownian motion on isolated time scales
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