SMART Trading Strategies

Tag: Ito

  • Different Forms of Itô’s Lemma

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    Case 1: Function is in terms of X (Brownian Motion) Case 1a: F = F(X) Case 1b: F = F(t, X) Case 2: Function is in terms of Z Case 2a: F = F(Z) Case 2b: F = F(t, Z)

  • Itô’s Integral

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    This post is on Itô’s Integral. The notes are taken from the second part of the MIT OpenCourseWare lecture linked in the previous post on Ito’s lemma. I’m kind of lost when he discussed Itô Isometry. Did more research for a better understanding. The first video below gives a more concrete explanation of Itô’s integral.…

  • Itô’s Lemma Examples

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    Notes taken from the first half of the Itô’s Calculus lecture by MIT OpenCourseWare.

  • Itô Processes and Itô’s Lemma

    Itô Processes and Itô’s Lemma

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    Itô process is like a generalized random walk and Itô’s lemma gives us a formula for doing calculus with Itô processes. Itô Process An Itô process is defined as a stochastic process of the form where X and B are both time dependent and B is a Guassian Brownian random variable. adt is a deterministic…