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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Stochastic Integrals

Stochastic Integrals

Chapter:
(p.36) 4 Stochastic Integrals
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0004

This chapter discusses the modelling of asset prices as continuous time stochastic processes. Diffusion processes and stochastic differential equations are used as building blocks to obtain the most complete and elegant theory. Practice exercises are included.

Keywords:   asset prices, stochastic processes, diffusion processes, differential equations, continuous time

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