Returns and Log Returns; what is stochastic calculus?
Tuesday, March 22
8-9 am US Central Time
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Professor Richard Sowers
We'll look at returns and the logarithm of stock prices. It turns out, that since the logarithm function is nonlinear, we get some interesting results which distinguish stochastic processes from their deterministic counterparts. We arrive at a calculation which brings us to the doorstep of Ito Calculus.
