6WienerProcessesandIt_’sLemma维纳过程与引理.pptxVIP

Investment Analysis and Portfolio ManagementWiener Processes and It?’s Lemma维纳过程及伊藤引理随机过程(Stochastic Processes)类型Any variable whose value changes over time in an uncertain way is said to follow a stochastic processA- discrete-time stochastic process is one where the value of the variable can change only at certain fixed points in time, whereas a continuous-time stochastic process is one where changes can take place at any time.In a continuous-variable process, the underlying variable can take any value within a certain range, whereas in a discrete variable process, only certain discrete values are possible.(continued)Options, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008Discrete time; discrete variableDiscrete time; continuous variableContinuous time; discrete variableContinuous time; continuous variable股价建模Modeling Stock PricesWe can use any of the four types of stochastic processes to model stock pricesThe continuous time, continuous variable process proves to be the most useful for the purposes of valuing derivativesOptions, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008Markov Processes (See pages 181-182)马尔科夫过程(Markov process) 是一个特殊类型的随机过程，在该过程中，只有标的变量的当前值与未来的预测有关，变量的历史以及变量从过去到现在的演变方式与对未来的预测无关。 We assume that stock prices follow Markov processesOptions, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008Weak-Form Market EfficiencyThis asserts that it is impossible to produce consistently superior returns with a trading rule based on the past history of stock prices. In other words technical analysis does not work.A Markov process for stock prices is consistent with weak-form market efficiencyOptions, Futures, and Other Derivatives, 7th Edition, Copyright ? John C. Hull 2008Example of a Discrete Time Continuous Variable ModelA stock price is currently at $40At the end of 1 year it is considered that it will have a normal probability distribution of with mean $40 and standard dev