Chapter14WienerProcessesandIt’sLemma.PDFVIP

Chapter 14 Wiener Processes and Itô’s Lemma 郑振龙 厦门大学金融系 课程网站： Email: zlzheng@ Stochastic Processes Describes the way in which a variable such as a stock price, exchange rate or interest rate changes through time Incorporates uncertainties 12:03 Copyright ©2014 Zhenlong Zheng 2 Categorization of Stochastic Processes  Discrete time; discrete variable Random walk: x t = x t − 1 + ε t εt can only