31. Stochastic Processes and Models

  1. Robert W. Kolb and
  2. James A. Overdahl
  1. George Chalamandaris and
  2. A. G. Malliaris

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266403.ch31

Financial Derivatives: Pricing and Risk Management

Financial Derivatives: Pricing and Risk Management

How to Cite

Kolb, R. W. and Overdahl, J. A. (2009) Stochastic Processes and Models, in Financial Derivatives: Pricing and Risk Management, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266403.ch31

Author Information

  1. Walter F. Mullady Sr. Professor of Business Administration, School of Business Administration, Loyola University Chicago

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 19 OCT 2009

ISBN Information

Print ISBN: 9780470499108

Online ISBN: 9781118266403

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Keywords:

  • stochastic processes;
  • random variables;
  • Robert Brown;
  • continuous time model;
  • brownian motion increment

Summary

This chapter contains sections titled:

  • Introduction

  • Stochastic Processes

  • Basic Elements of Stochastic Calculus

  • Binomial Tree: Another Way of Visualizing a Stochastic Process

  • Conclusion

  • Endnotes

  • Appendix: Heuristic Derivation of Ito's Formula

  • About the Authors