-1
$\begingroup$

In general I'm wondering about the names of time-derivatives of price.

E.g. in physics the first few time-derivatives of position are:

  • f(x) = displacement
  • f'(x) = velocity
  • f''(x) = acceleration

And the first integral (anti-derivative) of displacement is called absement.

What would the equivalent financial terms be?

$\endgroup$
  • $\begingroup$ What your looking for is Stochastic Calculus $\endgroup$ – pyCthon May 23 '13 at 2:33
1
$\begingroup$

Although I don't think that this is a question that fits in here, I will give you a reference.

You might want to have a look at the so called greeks, you find a first overview here:

http://en.wikipedia.org/wiki/Greeks_(finance)

$\endgroup$
  • $\begingroup$ I'm sorry but this question has nothing to do with options. It's about mathematical derivatives of price. $\endgroup$ – thwd May 17 '13 at 16:41
  • 3
    $\begingroup$ @Tom: Price of what? Derivatives are called that way for a reason. $\endgroup$ – vonjd May 17 '13 at 17:17
  • $\begingroup$ Options are derivatives because their price is not a free variable but depends on the price of 1 or more other instruments. My question is about any instrument whose price is (presumed to be) a free variable e.g. equity, fx, commodities. $\endgroup$ – thwd May 17 '13 at 17:31
  • 2
    $\begingroup$ I'm not sure a physics approach is helpful. Maybe you could pick up a book on stochastic calculus. $\endgroup$ – John May 17 '13 at 18:34
0
$\begingroup$

Well, if you divide a time integral by the length of the time interval, you'll get the average (in time) price: $$ \frac{1}{t}\int_0^T x_t\mathrm dt $$ so at least on of the meanings of the integral itself is an average price time the length of the interval. In such a case, I think the normalized quantity (the integral divided by the length) is more meaningful. It is used e.g. in the exotic options whose payoff depends on the average price.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.