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Itovsn3: Doing Stochastic Calculus with Mathematica

  • Wilfrid S. Kendall

Abstract

This chapter describes the construction and use of Itovsn3, a Mathematica package which implements stochastic calculus (also known as Itô calculus). Stochastic calculus is of great use in mathematical finance (see for example Duffie, 1988) and therefore its implementation within computer algebra packages is likely to be of considerable interest to readers of this volume. Itovsn3 is a direct descendant of a collection of procedures (also called Itovsn3) which implement stochastic calculus in the REDUCE computer algebra language. The two implementations are similar, differing mainly in the use of the package concept (for the Mathematica version) and in the use of global substitution rules (for the REDUCE version), but both providing a simple and direct implementation based around the renowned Itô formula.

Keywords

Brownian Motion Stochastic Differential Equation Computer Algebra Stochastic Calculus Local Martingale 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1993

Authors and Affiliations

  • Wilfrid S. Kendall

There are no affiliations available

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