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Results tagged with stochastic-calculus
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user 13457
A branch of mathematics that operates on stochastic processes.
8
votes
1
answer
4k
views
Implications of shifting the lognormal model for forward rates from a probability perspective
I have a question regarding the application of a shift to the Black-Scholes formula for negative forward rates.
I am reading in the Brigo book that "increasing the shift $\alpha$ shifts the volatilit …
- 483
6
votes
2
answers
2k
views
Libor Market Model: numeraire change
I am currently studying the Libor forward market model, and although I get the mechanics behind the main arguments, I still do not have an intuitive idea of what's exactly the objective behind changin …
- 483
5
votes
1
answer
453
views
Lipschitz condition in mathematical finance
I am interested in a rigorous explanation on why the Lipschitz condition plays a major part in stochastic calculus, most significantly in mathematical finance.
To be specific, suppose we want to comp …
- 483