Jump to ContentJump to Main Navigation
Financial Asset Pricing Theory$
Users without a subscription are not able to see the full content.

Claus Munk

Print publication date: 2013

Print ISBN-13: 9780199585496

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199585496.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 21 March 2019

Uncertainty, Information, and Stochastic Processes

Uncertainty, Information, and Stochastic Processes

Chapter:
(p.24) 2 Uncertainty, Information, and Stochastic Processes
Source:
Financial Asset Pricing Theory
Author(s):

Claus Munk

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199585496.003.0002

Uncertainty is a key component of financial markets and thus of any asset pricing theory. This chapter provides the tools from probability theory that are being used in the asset pricing models covered in the remaining part of the book. The mathematical representation of uncertainty and information flow is explained. Stochastic processes are introduced with numerous examples both in discrete time and in continuous time. The important Ito’s Lemma is presented and illustrated by examples. The simultaneous handling of multiple stochastic processes is also discussed. The chapter is accessible with only little prior exposure to probability theory and continuous-time finance models.

Keywords:   Uncertainty, information flow, stochastic processes, standard Brownian motion, geometric Brownian motion, diffusion, Ito’s Lemma, correlated stochastic processes

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .