Chapter 4. Stochastic Integration

  1. P. J. Hunt1 and
  2. J. E. Kennedy2

Published Online: 28 JAN 2005

DOI: 10.1002/0470863617.ch4

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice

How to Cite

Hunt, P. J. and Kennedy, J. E. (2004) Stochastic Integration, in Financial Derivatives in Theory and Practice, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470863617.ch4

Author Information

  1. 1

    WestLB AG, London, UK

  2. 2

    University of Warwick, UK

Publication History

  1. Published Online: 28 JAN 2005
  2. Published Print: 26 MAY 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470863589

Online ISBN: 9780470863619

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Keywords:

  • stochastic integration;
  • the Hilbert space L2(M);
  • semimartingales as integrators

Summary

This chapter contains sections titled:

  • Outline

  • Predictable Processes

  • Stochastic Integrals: The L2 Theory

  • Properties of the Stochastic Integral

  • Extensions via Localization

  • Stochastic Calculus: Itô's Formula