Abstract
In this chapter we consider a class of continuous stochastic processes, called martingales, which play a central role in finance. We also define the gains realized from trading as a stochastic integral. Stochastic integration and martingales provide key tools for the analysis of the continuous time evolution of financial markets.
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© 2006 Springer-Verlag Berlin Heidelberg
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Platen, E., Heath, D. (2006). Martingales and Stochastic Integrals. In: A Benchmark Approach to Quantitative Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-47856-0_5
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DOI: https://doi.org/10.1007/978-3-540-47856-0_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-26212-1
Online ISBN: 978-3-540-47856-0
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