Outline of finance and Stochastic differential equation

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Difference between Outline of finance and Stochastic differential equation

Outline of finance vs. Stochastic differential equation

The following outline is provided as an overview of and topical guide to finance: Finance – addresses the ways in which individuals and organizations raise and allocate monetary resources over time, taking into account the risks entailed in their projects. A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process.

Black–Scholes model

The Black–Scholes or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment instruments.

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Brownian motion

Brownian motion or pedesis (from πήδησις "leaping") is the random motion of particles suspended in a fluid (a liquid or a gas) resulting from their collision with the fast-moving molecules in the fluid.

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Geometric Brownian motion

A geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion (also called a Wiener process) with drift.

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Jump process

A jump process is a type of stochastic process that has discrete movements, called jumps, with random arrival times, rather than continuous movement, typically modelled as a simple or compound Poisson process.

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Local volatility

A local volatility model, in mathematical finance and financial engineering, is one that treats volatility as a function of both the current asset level S_t and of time t. As such, a local volatility model is a generalisation of the Black-Scholes model, where the volatility is a constant (i.e. a trivial function of S_t and t).

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Monte Carlo method

Monte Carlo methods (or Monte Carlo experiments) are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.

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Partial differential equation

In mathematics, a partial differential equation (PDE) is a differential equation that contains unknown multivariable functions and their partial derivatives.

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Stochastic process

--> In probability theory and related fields, a stochastic or random process is a mathematical object usually defined as a collection of random variables.

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Stochastic volatility

In statistics, stochastic volatility models are those in which the variance of a stochastic process is itself randomly distributed.

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Stock

The stock (also capital stock) of a corporation is constituted of the equity stock of its owners.

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Wiener process

In mathematics, the Wiener process is a continuous-time stochastic process named in honor of Norbert Wiener.

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