《《ITO#39;S LEMMA BROWNIAN MOTION》.pdfVIP

Lecture 3: Brownian Motion and Ito’s Lemma ´ Alvaro Cartea Birkbeck College, University of London MSc Finance, Finance and Commodities and Financial Engineering a.cartea@bbk.ac.uk – p. 1 Overview Brownian Motion, Wiener Process Stochastic Integrals Ito’s Lemma Modelling returns The Black-Scholes PDE a.cartea@bbk.ac