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6. Glossary
Stochastic calculus ; stochastic calculus
Branch of mathematics that studies stochastic processes and defines integrals that integrate one stochastic process against another. In particular, Ito's calculus defines a stochastic integral with respect to Brownian motion. Self-financing portfolios in finance are stochastic integrals, which explains the considerable development of this field.
Price calibration in finance ; price calibration in finance
The aim is to determine the parameters of a theoretical model in such a way that the theoretical prices induced are as close as possible to those observed on the market. Generally, quadratic minimization is implemented.
Vanilla call/put option ; vanilla option call/put
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Bibliography
- (1) - BAPTISTE (J.), CARASSUS (L.), LÉPINETTE (E.) - Pricing without martingale measure - (2020). https://hal.archives-ouvertes.fr/hal-01774150 .
- (2) - BAPTISTE...
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