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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
Substituting for   x
The   2  t  Term
Taking Limits
Application of Ito’s Lemma to a Stock Price Process
Examples

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Chap 12