CH12 wiener processes and itô’s lemma

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international capital flows and u s interest rates

Mục lục

Types of Stochastic Processes
Markov Processes (See pages 263-64)
Example of a Discrete Time Continuous Variable Model
Variances & Standard Deviations
Variances & Standard Deviations (continued)
A Wiener Process (See pages 265-67)
Properties of a Wiener Process
Generalized Wiener Processes (See page 267-69)
Generalized Wiener Processes (continued)
Generalized Wiener Processes (continued)
Itô Process (See pages 269)
Why a Generalized Wiener Process is not Appropriate for Stocks
An Ito Process for Stock Prices (See pages 269-71)
Itô’s Lemma (See pages 273-274)
Ignoring Terms of Higher Order Than Dt
The e2Dt Term
Application of Ito’s Lemma to a Stock Price Process

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