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8 - The Itô Formula

from Part I - Point Processes

Published online by Cambridge University Press:  27 May 2021

Tomas Björk
Affiliation:
Stockholm School of Economics
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Summary

We derive the relevant Itô formula for jump diffusions driven by a marked point process. The compound Poisson process is introduced, and we also study the MPP versions of the linear and geometric SDE.

Type
Chapter
Information
Point Processes and Jump Diffusions
An Introduction with Finance Applications
, pp. 72 - 81
Publisher: Cambridge University Press
Print publication year: 2021

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  • The Itô Formula
  • Tomas Björk, Stockholm School of Economics
  • Book: Point Processes and Jump Diffusions
  • Online publication: 27 May 2021
  • Chapter DOI: https://doi.org/10.1017/9781009002127.010
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  • The Itô Formula
  • Tomas Björk, Stockholm School of Economics
  • Book: Point Processes and Jump Diffusions
  • Online publication: 27 May 2021
  • Chapter DOI: https://doi.org/10.1017/9781009002127.010
Available formats
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Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • The Itô Formula
  • Tomas Björk, Stockholm School of Economics
  • Book: Point Processes and Jump Diffusions
  • Online publication: 27 May 2021
  • Chapter DOI: https://doi.org/10.1017/9781009002127.010
Available formats
×