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Brownian Motion and Quadratic Variation
| Content Provider | Semantic Scholar |
|---|---|
| Author | Haugh, Martin B. |
| Copyright Year | 2016 |
| Abstract | These notes provide a very brief introduction to stochastic calculus, the branch of mathematics that is most identified with financial engineering and mathematical finance. We will ignore most of the technical details and take an “engineering” approach to the subject. We will only introduce the concepts that are necessary for deriving the Black-Scholes formula later in the course. These concepts include quadratic variation, stochastic integrals and stochastic differential equations. We will of couse also introduce Itô’s Lemma, probably the most important result in stochastic calculus. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.columbia.edu/~mh2078/FoundationsFE/IntroStochCalc.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
