# Questions tagged [stochastic-calculus]

A branch of mathematics that operates on stochastic processes.

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### From one period to multi period risk neutral pricing

For a one period economy, we have the price of an asset as: $p_0 = E^Q [p_1 * \frac {B0}{B1}]$ where $B0 = e^{-r_0}$ = time 0 price of risk free bond maturing at time =1 and $r_0$ is known at t0. ...
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### Obtaining the drift of a Wiener process formed from a random walk

I'm trying to understand how the equation for Geometric Brownian Motion is formed from a random walk. I'm following the book 'Statistics of Financial Markets' but I'm struggling to follow how the ...
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### Is there anyone tried to use simultaneous stochastic differential equations?

I am looking for some examples or attempts of using simultaneous stochastic differential equations for financial analysis but there has been none so far. Is it just so nasty to apply such thing in ...
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### stochastic calculus and multidimentional itos lemma

I am considering a number of assets (N) in a portfolio. each asset follows a geometric Brownian motion process therefore the stochastic differential equation is dS(i) = S(i)μdt + S(i)σdX(i). The ...
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### What is Variance of delta of brownian motion [closed]

I am new to this. If variance of Brownian motion b is t, what is the variance of db? db is delta of b
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