Manipulating Stochastic Differential Equations and Stochastic Integrals

Carl Chiarella; Xue Zhong He; Christina Sklibosios Nikitopoulos

doi:10.1007/978-3-662-45906-5_5

Manipulating Stochastic Differential Equations and Stochastic Integrals

Carl Chiarella^*, Xue Zhong He, Christina Sklibosios Nikitopoulos

^*Corresponding author for this work

University of Technology Sydney

Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review

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.

Original language	English
Title of host publication	Dynamic Modeling and Econometrics in Economics and Finance
Publisher	Springer Science and Business Media Deutschland GmbH
Pages	93-110
Number of pages	18
DOIs	https://doi.org/10.1007/978-3-662-45906-5_5
Publication status	Published - 2015
Externally published	Yes

Publication series

Name	Dynamic Modeling and Econometrics in Economics and Finance
Volume	21
ISSN (Print)	1566-0419
ISSN (Electronic)	2363-8370

Keywords

Stochastic Calculus
Stochastic Differential Equation
Stochastic Integral
Transition Probability Density
Wiener Process

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10.1007/978-3-662-45906-5_5

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Chiarella, C., He, X. Z., & Nikitopoulos, C. S. (2015). Manipulating Stochastic Differential Equations and Stochastic Integrals. In Dynamic Modeling and Econometrics in Economics and Finance (pp. 93-110). (Dynamic Modeling and Econometrics in Economics and Finance; Vol. 21). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-662-45906-5_5

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keywords = "Stochastic Calculus, Stochastic Differential Equation, Stochastic Integral, Transition Probability Density, Wiener Process",

author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",

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language = "English",

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Manipulating Stochastic Differential Equations and Stochastic Integrals. / Chiarella, Carl; He, Xue Zhong; Nikitopoulos, Christina Sklibosios.
Dynamic Modeling and Econometrics in Economics and Finance. Springer Science and Business Media Deutschland GmbH, 2015. p. 93-110 (Dynamic Modeling and Econometrics in Economics and Finance; Vol. 21).

Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review

TY - CHAP

T1 - Manipulating Stochastic Differential Equations and Stochastic Integrals

AU - Chiarella, Carl

AU - He, Xue Zhong

AU - Nikitopoulos, Christina Sklibosios

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

KW - Stochastic Calculus

KW - Stochastic Differential Equation

KW - Stochastic Integral

KW - Transition Probability Density

KW - Wiener Process

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M3 - Chapter

AN - SCOPUS:85130956296

T3 - Dynamic Modeling and Econometrics in Economics and Finance

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EP - 110

BT - Dynamic Modeling and Econometrics in Economics and Finance

PB - Springer Science and Business Media Deutschland GmbH

ER -

Manipulating Stochastic Differential Equations and Stochastic Integrals

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Keywords

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