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Ito's Calculus in Financial Decision Making

A. G. Malliaris
SIAM Review
Vol. 25, No. 4 (Oct., 1983), pp. 481-496
Stable URL: http://www.jstor.org/stable/2029468
Page Count: 16
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Ito's Calculus in Financial Decision Making
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Abstract

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.

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