Drexel dragonThe Math ForumDonate to the Math Forum



Search All of the Math Forum:

Views expressed in these public forums are not endorsed by Drexel University or The Math Forum.


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

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

Advanced Search

Back to Topic List Back to Topic List Jump to Tree View Jump to Tree View   Messages: [ Previous | Next ]
Paul

Posts: 263
Registered: 2/23/10
Re: Derivation of Ito Lemma
Posted: Sep 30, 2012 3:29 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

On Sep 29, 11:21 am, Dave <divergent.tser...@gmail.com> wrote:
> 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.

OK, thanks. I'm not quite ready to tackle the paper yet....I'm just
trying to get my head around the concepts of the use of stochastic
processes. And for that matter, stats.



Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© Drexel University 1994-2014. All Rights Reserved.
The Math Forum is a research and educational enterprise of the Drexel University School of Education.