Chap 12

Wiener Processes and It ô ’s Lemma Chapter 12

Types of Stochastic Processes ,[object Object],[object Object],[object Object],[object Object]

Modeling Stock Prices ,[object Object],[object Object]

Markov Processes (See pages 263-64) ,[object Object],[object Object]

Weak-Form Market Efficiency ,[object Object],[object Object]

Example of a Discrete Time Continuous Variable Model ,[object Object],[object Object]

Questions ,[object Object],[object Object],[object Object],[object Object],[object Object]

Variances & Standard Deviations ,[object Object],[object Object],[object Object]

Variances & Standard Deviations (continued) ,[object Object],[object Object]

A Wiener Process (See pages 265-67) ,[object Object],[object Object],[object Object],[object Object],[object Object]

Properties of a Wiener Process ,[object Object],[object Object],[object Object]

Taking Limits . . . ,[object Object],[object Object],[object Object]

Generalized Wiener Processes (See page 267-69) ,[object Object],[object Object]

Generalized Wiener Processes (continued) ,[object Object],[object Object]

Generalized Wiener Processes (continued) ,[object Object],[object Object],[object Object]

The Example Revisited ,[object Object],[object Object],[object Object],[object Object],[object Object]

It ô Process (See pages 269) ,[object Object],[object Object],[object Object],[object Object],[object Object]

Why a Generalized Wiener Process is not Appropriate for Stocks ,[object Object],[object Object]

An Ito Process for Stock Prices (See pages 269-71) ,[object Object],[object Object]

Monte Carlo Simulation ,[object Object],[object Object]

Monte Carlo Simulation – One Path (See Table 12.1, page 272)

It ô ’s Lemma (See pages 273-274) ,[object Object],[object Object]

Taylor Series Expansion ,[object Object]

Ignoring Terms of Higher Order Than  t

Application of Ito’s Lemma to a Stock Price Process

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