Ito's Formula for Quantitative Finance
#Itos_formula, #quantitativefinance
This video delves into Ito's formula, a cornerstone of stochastic calculus used extensively in quantitative finance. We demonstrate its application in deriving the dynamics of the log of a stock price and the price dynamics of a forward contract.
0:00 Introduction
1:15 Ito's Lemma
2:00 2D Taylor Series Expansion
2:58 Multiplication table for W(t).
4:00 Collecting all
4:18 Example 1: (log (S(t)))
5:12 Example 2: Forward Contract
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Please watch: "Simulate Brownian Motion in Python "
• Simulate Brownian Motion in Python
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