Stochastic calculus for finance
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discrete-time processesItô formulastochastic differential equationsstochastic integralsWiener process
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Foundations of stochastic processes (60G05) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Recommendations
Cited in
(13)- Stochastic calculus for assets with non-Gaussian price fluctuations
- Stochastic calculus of variations in mathematical finance.
- Continuous stochastic calculus with applications to finance
- Itô's stochastic calculus and its applications
- Stochastic Calculus and Differential Equations for Physics and Finance
- Itô's calculus and the derivation of the Black-Scholes option-pricing model
- Elementary stochastic calculus for finance with infinitesimals
- Stochastic calculus for finance.
- Der Itô-Kalkül
- scientific article; zbMATH DE number 4189431 (Why is no real title available?)
- Stochastic differential equations in finance
- Pricing of Quanto power options and related exotic options
- Pricing powered -power Quanto options with and without Poisson jumps
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