Stochastic Processes for Asset Price Modelling

Carl Chiarella; Xue Zhong He; Christina Sklibosios Nikitopoulos

doi:10.1007/978-3-662-45906-5_2

Stochastic Processes for Asset Price Modelling

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

2 Citations (Scopus)

Abstract

This chapter gives an intuitive appreciation and review of many important aspects of the stochastic processes that have been used to model asset price processes. We will be interested in a probabilistic description of the time evolution of asset prices. After imposing some structure on the stochastic process for the return on the asset, this chapter introduces Markov processes, time evolution of conditional probabilities, continuous sample paths, and the Fokker–Planck and Kolmogorov 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	7-36
Number of pages	30
DOIs	https://doi.org/10.1007/978-3-662-45906-5_2
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

Asset Price
Current Price
Option Price
Planck Equation
Sample Path

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10.1007/978-3-662-45906-5_2

Cite this

Chiarella, C., He, X. Z., & Nikitopoulos, C. S. (2015). Stochastic Processes for Asset Price Modelling. In Dynamic Modeling and Econometrics in Economics and Finance (pp. 7-36). (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_2

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Stochastic Processes for Asset Price Modelling. / 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. 7-36 (Dynamic Modeling and Econometrics in Economics and Finance; Vol. 21).

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

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T1 - Stochastic Processes for Asset Price Modelling

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AU - He, Xue Zhong

AU - Nikitopoulos, Christina Sklibosios

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KW - Asset Price

KW - Current Price

KW - Option Price

KW - Planck Equation

KW - Sample Path

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M3 - Chapter

AN - SCOPUS:85052832633

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BT - Dynamic Modeling and Econometrics in Economics and Finance

PB - Springer Science and Business Media Deutschland GmbH

ER -

Stochastic Processes for Asset Price Modelling

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