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Ito's Lemma
Author

Mark Fisher
Organization: Federal Reserve Bank of Atlanta
Department: Economic Advisor, Research Department
Old MathSource #

0211-015
Revision date

2003-04-24
Description

An Ito process can be thought of as a stochastic differential equation. Ito's lemma provides the rules for computing the Ito process of a function of Ito processes. In other words, it is the formula for computing stochastic derivatives. This package computes Ito's formula for arbitrary functions of an arbitrary number of Ito processes with an abritrary number of Brownians. The Brownians may have an arbitrary correlation matrix.

Updated in April 2003
Subjects

*Business and Economics
*Mathematics > Calculus and Analysis > Differential Equations
Keywords

Ito Calculus, Ito Process, Financial Derivatives, Black-Scholes, Stochastic Differential Equations, Brownian motion
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ItosLemma.m (13.1 KB) - Mathematica Package
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ItosLemma.nb (103.3 KB) - Mathematica Notebook