Abstract
In this chapter the fundamental concept of a stochastic process is introduced. We show how stochastic processes can be applied in the context of asset price modeling. The notions of processes with independent increments, stationary processes and Markov processes are explained. Essentially, stochastic processes provide the mathematical framework that allows us to model financial quantities as families of random variables that evolve over time.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2006 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Platen, E., Heath, D. (2006). Modeling via Stochastic Processes. In: A Benchmark Approach to Quantitative Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-47856-0_3
Download citation
DOI: https://doi.org/10.1007/978-3-540-47856-0_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-26212-1
Online ISBN: 978-3-540-47856-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)