@inbook{54b7de2814824b48ae5e2f6dc1ce0807,
title = "Manipulating Stochastic Differential Equations and Stochastic Integrals",
abstract = "Many of the calculations of derivative security pricing involve formal manipulations of stochastic differential equations and stochastic integrals. This chapter derives those that are most frequently used. We also consider transformation of correlated Wiener processes to uncorrelated Wiener processes for higher dimensional stochastic differential equations.",
keywords = "Stochastic Calculus, Stochastic Differential Equation, Stochastic Integral, Transition Probability Density, 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_5",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "93--110",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}