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

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Registered: 2/23/10
Re: Derivation of Ito Lemma
Posted: Sep 30, 2012 3:29 PM
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On Sep 29, 11:21 am, Dave <> 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.

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