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Ito's Calculus in Financial Decision Making
A. G. Malliaris
Vol. 25, No. 4 (Oct., 1983), pp. 481-496
Published by: Society for Industrial and Applied Mathematics
Stable URL: http://www.jstor.org/stable/2029468
Page Count: 16
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This paper presents an introduction to Ito's stochastic calculus by stating some basic definitions, theorems and mathematical examples. Afterwards, the use of Ito's calculus in modern financial theory is illustrated by expositing a few representative applications. The main observation of this paper is that Ito'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.
SIAM Review © 1983 Society for Industrial and Applied Mathematics