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- W2115631801 abstract "Stochastic processes arising in the description of the risk-neutral evolution of equity prices are reviewed. Starting with Brownian motion, I review extensions to Lévy and Sato processes. These processes have independent increments; the former are homogeneous in time, whereas the latter are inhomogeneous. One-dimensional Markov processes such as local volatility and local Lévy are discussed next. Finally, I take up two forms of stochastic volatility that are due to either space scaling or time changing. An encompassing discrete-time model closes the presentation." @default.
- W2115631801 created "2016-06-24" @default.
- W2115631801 creator A5055008305 @default.
- W2115631801 date "2010-12-01" @default.
- W2115631801 modified "2023-10-18" @default.
- W2115631801 title "Stochastic Processes in Finance" @default.
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- W2115631801 doi "https://doi.org/10.1146/annurev.financial.050808.114506" @default.
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