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Journal of Advances in Mathematics and Computer Science

Journal of Advances in Mathematics and Computer Science, ISSN: 2456-9968, ISSN: 2231-0851 (Past),Vol.: 25, Issue.: 6

Original-research-article

A Useful Result on the Covariance Between Ito Integrals

 

Tristan Guillaume1*
1Universite de Cergy-Pontoise, Laboratoire Thema, 33 boulevard du port, F-95011 Cergy-Pontoise Cedex, France.

 

Article Information
Editor(s):
(1) Radko Mesiar, Professor, Department of Mathematics, Faculty of Civil Engineering, Slovak University of Technology Bratislava, Slovakia.
Reviewers:
(1) Grienggrai Rajchakit, Maejo University, Thailand.
(2) Sanjib Kumar Datta, University of Kalyani, India.
(3) De-Lei Sheng, Tianjin University, China.
Complete Peer review History: http://www.sciencedomain.org/review-history/22524

 

Abstracts

 

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.

 

Keywords :

Ito integral; multidimensional Brownian motion; interest rate process; yield curve model.

 

Full Article - PDF    Page 1-12    Article Metrics

 

DOI : 10.9734/JAMCS/2017/38464

Review History    Comments

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