A stochastic process with the Markov property that the distribution of the future process depends solely on the present state,…
A process that reflects the time-evolution of an asset price. It is a stochastic process commonly used in finance to...
It stands for geometric Brownian motion; a process that reflects the time-evolution of an asset price. It is a stochastic...
A process that reflects the time-evolution of an asset price. It is a stochastic process commonly used in finance to...
An interest rate derivative pricing model that was developed by Black and Karasinski in 1991 in an attempt to overcome...
A stochastic process is a number of random variables defined on a given probability level and indexed by the time...
The average increase per unit of time in a stochastic variable. Typically, the drift cannot be detected amid all the...
A stochastic process where the change in the price of a derivative during each short period of time has a...
A stochastic process which describes the movements in the price of a derivative's underlying through time. In this process, the...
A Gaussian stochastic process (a continuous-time stochastic process) that has independent increments and a vanishing mean, and it features an...
