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use this tag to signal questions about books or papers on a specific topic. Please have a careful look at questions already answered on the same topic in this category.
29
votes
Accepted
Worked examples of applying Ito's lemma
These are all examples on Ito Formula in its general form (with quadratic variations):
1
vote
Does heteroskedasticity of returns depend on the time frame?
This paper states that heteroskedasticity is a stylized fact in daily as well as intra-day returns: https://statistik.econ.kit.edu/download/doc_secure1/HandbookITandFinan.pdf