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Manipulating Stochastic Differential Equations and Stochastic Integrals

In: Derivative Security Pricing

Author

Listed:
  • Carl Chiarella

    (University of Technology Sydney)

  • Xue-Zhong He

    (University of Technology Sydney)

  • Christina Sklibosios Nikitopoulos

    (University of Technology Sydney)

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.

Suggested Citation

  • Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Manipulating Stochastic Differential Equations and Stochastic Integrals," Dynamic Modeling and Econometrics in Economics and Finance, in: Derivative Security Pricing, edition 127, chapter 0, pages 93-110, Springer.
    • Handle: RePEc:spr:dymchp:978-3-662-45906-5_5
    DOI: 10.1007/978-3-662-45906-5_5
    as

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