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Modeling via Stochastic Processes

Author

Listed:
  • Eckhard Platen

    (University of Technology)

  • David Heath

    (Australian National University)

Abstract

In this chapter the fundamental concept of a stochastic process is introduced. We show how stochastic processes can be applied in the context of asset price modeling. The notions of processes with independent increments, stationary processes and Markov processes are explained. Essentially, stochastic processes provide the mathematical framework that allows us to model financial quantities as families of random variables that evolve over time.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-540-47856-0_3
DOI: 10.1007/978-3-540-47856-0_3
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