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Paper / 2020SMQ / 119765964981521
Parisian time of reflected Brownian motion with drift on rays and its application in banking
Dassios, Angelos / Zhang, Junyi
brownian motion / stochastic processesResource overview

Parisian time of reflected Brownian motion with drift on rays and its application in banking

Paper2020

by Dassios, Angelos, Zhang, Junyi

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brownian motionstochastic processes

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  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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