A Useful Result on the Covariance Between Ito Integrals
Journal Title: Journal of Advances in Mathematics and Computer Science - Year 2017, Vol 25, Issue 6
Abstract
This article introduces a general result on the covariance between two Ito integrals driven by two different Brownian motions, which slightly generalizes the isometry property. This result finds applications in mathematical finance, e.g. it enables to determine the probability distribution of the integrated interest rate process in exponential-affine models of the yield curve.
Authors and Affiliations
Tristan Guillaume
Keywords
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- EP ID EP322560
- DOI 10.9734/JAMCS/2017/38464
- Views 131
- Downloads 0
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