Itô’s Calculus in Financial Decision Making

Abstract

This paper presents an introduction to Itô’s stochastic calculus by stating some basic definitions, theorems and mathematical examples. Afterwards, the use of Itô’s calculus in modern financial theory is illustrated by expositing a few representative applications. The main observation of this paper is that Itô’s calculus which was developed from purely mathematical questions originating in Wiener’s work has found unexpectedly important applicability in the theory of finance from the perspective of continuous time.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 31 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.