@inbook{3d27fdf728074c29a62a86e93de145ef,
title = "Ito{\textquoteright}s Lemma and Its Applications",
abstract = "This chapter introduces Ito{\textquoteright}s lemma, which is one of the most important tools of stochastic analysis in finance. It relates the change in the price of the derivative security to the change in the price of the underlying asset. Applications of Ito{\textquoteright}s lemma to geometric Brownian motion asset price process, the Ornstein–Uhlenbeck process, and Brownian bridge process are discussed in detail. Extension and applications of Ito{\textquoteright}s lemma in several variables are also included.",
keywords = "Asset Price, Bond Price, Colour Noise, Stochastic Differential Equation, Wiener Process",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_6",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "111--143",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}