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Math Forum » Discussions » sci.math.* » sci.stat.math.independent

Topic: Derivation of Ito Lemma
Replies: 12   Last Post: Feb 7, 2013 1:37 PM

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divergent.tseries@gmail.com

Posts: 39
Registered: 7/29/12
Re: Derivation of Ito Lemma
Posted: Sep 29, 2012 11:21 AM
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Yeah, if it is not a real physics application you really need to read the paper. It shows that Ito calculus is orthogonal to nature when applied to finance. There is a fundamental math error in Harry Markowitz's original paper on mean-variance finance. There are three cases to solve, Markowitz solved one, the one he solved does not apply to finance. The one that applies to finance precludes Ito's lemma.

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