International Journal of Mathematics and Statistics Studies (IJMSS)

EA Journals

The Stochastic Integral as a Pedagogic Tool in Finance

Abstract

The stochastic integral is expressly designed as a tool for financial modelling and it is now the backbone of a large body of academic teaching and research on asset pricing, corporate finance and investment behaviour. The note offers an outline of the nature of the subject along with a brief exposition of why it is so. This lecture note will serve as the basis for asset pricing at the graduate class. It should be accessible even to advanced undergraduates. The note also at the end contains several exercises without solution for the practitioners. This note is written with a certain mathematical rigour because of the complexity of the material.

Keywords: Brownian Motion, Martingale, Stieltjes Integral, Stochastic Integral Black-Scholes Option Price Theory

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Email ID: editor.ijmss@ea-journals.org
Impact Factor: 7.80
Print ISSN: 2053-2229
Online ISSN: 2053-2210
DOI: https://doi.org/10.37745/ijmss.13

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