E

FORMULAR 10 G

Lo miento It
cuaciones de
biNOMIAL : prowniano

I
FORMULA M = % "O DWe
.

-> · (M 7
El
MBG Mat +O dW

&asesau
en =

se me 282)t 0W-
+

a
(n -
+

St =
So :

Elim
[Win-Wi]
&
Las veces
que
sube.
·

Generalmente At =
tie-ti =, la misma longitud :

PROBABILIDAD :
·
Generar los Wi de la siguiente manera. Sumas de It

=lSe
g

Wit- Wi = Z t .

m E
[Ind
·

El
Wi
Emp
=

(ESMsi
-

#Si] =- Si
·
Nar [M 3 +
=
ESM3-
(
L Binamio de Newton

Wo EG(). 12]
[(n)pn(e-p) S , quen W EGMEl
:
=
=
et · :

. En p W .

=
S . ((pu)" (n-ma]" =

[pu p(d]
=

So
Eh(am w
(
#SWt-Wo] VarEW
+ -

=
0 + -Ws3 =
t-s
W..
,

RETORNOS :

Se Reto se
·=Me e him [w w]] -

-
LimE03 ·

El(W-wi
Lim 903
CONES
.
At

=
DIFERENCIALE
At -0

L =

% E40 3 : at Integral de

* Serdt
<

E
& Representee
Riemann

Sim Si Soe G Ln-Retornos

r

:E90 3
>
.
=

ESlawn 3
-
=

dt
0 *
:

:
=

N EGLn[ rvar +
Estocastica

SoC
Integral
.

=
=>
Inst =
r
+
In [5 3 - (n(So] +
=
r(T-o = rT

Ln[5] =
r - SS

=S So-So e
-

(Riemann)
S(tr) Una integral estocástica se puede trasladar a una NO estocástica

For deRosar
.

· o Esto se le llama "Isometría de Ito"

ES(/GDWn)"] ="El
Para estandarizar :
=> Su =

[rsuda 1 + Suawa
Estocastica .

Resumen Cualquier
despesamo
-Ed(n47) Sin -

Si = r .

S ::
(ti -til) +
OS : CWi-Win)
:
integral estocástica al cuadrado sera

Z =

equivalente a una integral Riemann de "O

""
al cuadrado cualquier E de
rS StitoSiAWi
1 Var [ln [3] S S
:
simular = ,
+
:
.. :

una integral estocastica sera

0
.
Recorsive S
Tormula S MS Ati O Sid W
=
+ + :

valor esperado
. :

6 V" PV(Si) =
+ (1 p)V(s)
-

Ja
T

Co =
Dienam

W . . dW
=

PV +
( -

p)V Jfdt =
Lim [f(ei) Ate

Integral de Riemann WidWi =mWil

Vi gro [PV (1
=
+ -

p)V] 1PWLimSW- = him Wo[W-Wo]

Y

+
W .
(Wa-W] +... +
Was[Wa-Wal]
- 0
At

VALOR ACUMULADO M
Identidad XY : =
&[(X +
y)2 -
x2 -
yz]
CON Capitalizaciones : -

-
...

=T
Am(H () + =- Wil
Www
·
=
1 .

We

iimWiNTWWWT.
y
~

A(t) =
K -
ert wo w
At - 0
= Lim (Win"-Wil-thim [ (Win-Wi
·
IdW .
=
Wo-Wa
 #
octos
PROPEDADES De I

I
"

1)"Faw +

1 gdw =

% ( g)dW
OtDWe
Forma
M dt
: +
DX =

-
+
: Aditiva
Diferencial :
↑

2)(cdWe c/dWe Homogénea

Tendencia Volatilidad
=

!
:

Xt-Xo
=
J . MdWa +
O DW

J% SGdWe 1"Gawe Partición

Integral :

3)
+
dW =

[ unde +
:
Xo + Ondwa
X+ =

4) EG/aw ] 0
,
+
=
: Media cero

dX+ =

Mdt +
0 DWt
dx Mat
El(loaw (2) SE402]dt
=

Ye f(Xt) 5) = : I sometría de It

(dx u/dt
=

by + = M dt + of DWe x = Mt + C
6) El Staw ·

/gaw) =
EG/f ga] .

: Covarianza

Nar(X 3 02 (t s)
sex-a
=
-

((X y +
=
Xs +
M(t s) -

f(a) f(a)(x
_ (a)(xa)
f(x) = + -

a) +
(x a)-

+ -

..

Ecuación Recursiva

X
=
=
Xi +
e(t -

ti) + 0 (Win-Wil
X = Xett a = Xz Xi =
Xi +
MSt + 0 SW :
,

Si f(X ) ++
=
f(xt) +
f' (X ((X+ x +
-

X + ) f"(X ((X +
+x
-

X + j f"(X )(X+
+x
-

X + 33
+ +

S 1 ! 2! 3!
(bX +
=
Mdt +
0dWe

u) , oS,
f(X ) f(x ) f(x (1X f"(X )[1x] f"(Xt)[1x]
d dwn
X +
-

Xs = +

sy
=
: +
-

= + + + +
+ X +
-

Xs =
u(t s) -
+
o(w +
-

ws)
⑮ 2 ! 3 ! X+ =
Xs +
u(t -

s) + o(we Wa) -

! Tiempo ! t+
I I

I
At
T

Xt Xt X
+
Xo x =
Xt At
+

&X X+
f "At
-

= =

f(x
++
+.
h) f(x) f'yt
-

+ +
=
+
Y+ f(xt) f(Xz ) f(Xt)
A
-y
-

=
+ +

Tiempo t 1t t + At

X x X a
T
⑧

ist
es
X
- -

= +x = x + 1x =
+ ++

Y
Xt
X + +1 +
- Xz

Proceso
de
f(x y)
,
f(t st
+ X+ + xt)
Ye
,
=
f(t Xt) ,

( Y =

f(Xt) ,
axt =
Modt +
5 aw = ,
dy
6 Forma
= bf(X
Diferencial
+ ) = f'(x + (d + + 5f"(Xt)(dx ]" +

(Xb)-fad)[a]
· Forma inteman Estocástica
Formula de I

1 Integral =
Wikipedia

La expanción en
Serie taylor para a variables , al rededor de la, a

f(x , y) = f(a ,
b) +
fx(a b)[x ,
-

a) +
fy(a b)(y ,
-

b] + t(fx(a b)(x a) ,
-
+ 2 f(a b)(x ,
-

a)(x -

b] +
fyy(a b)(y
,
-

b]2] + 5 ...

f(t t
+

,
X+ ) =
f(t Xt) ,
+
f(t ,
X+ (1t +
fx(t , xt)1X +
+ [fu(t ,
X+ ) [1] 2f(t,x)1xx + + +
fx (t , Xt)[1x +
]3]
f(t + ) f(t X+ ) f (t X+
(1 fx(t X(yx + fx(t (Ax ]
& t dt = 0
bt .

dXt =
dt :

(m -
dt + dW +]
X + )
+
+ -
=
+ , + X+
, + + , , , .
+

=
M [d + dt] + Ot (d dwa]
+ -

du
Sumando los incrementos de f-f desde
a hasta b :
Mckean
dt

E
>
- dt 0

Si dw ⑧ &t
 0Wt
derivadas :

[bX ]2 [X 0aw)]
Me +

Geometrico
X i = e
=
+ (ma + +

Movimientro Browniano + S =
0 +

f
o +
=
0

Xt(MA o Xe [idpodtdw
melo
+

=N WWEX
=
= =

dt +

BG fx
X= [0-dt]
-
=

fx =

Aplicar Formula de Ito a f) 1 =

In [X +
3 Forma Integran Integrando :
si de (Sit]

dy =
=
b(n(X Y +
=
df(t ,
X+)
LnEX-3-LuEXs3 =
S , M- 20au +
1 a

[* (
sustituimos las derivadas en la formula de It #I

=
d(n(X 2 + =
0dt +
π ax + + [)[ax Ja +
L
=
(n -04) (t -s) o(wt ws)
-
+ -

Aplicamos

exponencial (M-02)(t-s) + www l

¢ (n(x y +
= [* (ma odw)] - + + +
+
Xt
MEXs- (m 102)(t s) + o(we ws)
s)
-

-o'dt
-

b(n(x y
-

= dt + ow NIXs-Normal (2n(xsy 14 202)(t -s) 0 (t

-

&
+ +
- -

SOLUCIÓN ,

(u +02)(t s) o(we ws)

(v 202)dt (2n(xsy s)
+

g((xy er-LogNor
-

+
-

en
-

=
-

+
odw X +
=
=
+ (1 202)(t s)
- -

,
02(t -

YvlogNor (1 07 ,
,
Edys eo :

,
Var197 =
[1] en

zor(t -a) +02(t 3)

InExs ( +

m(t s)
-

g(n(xs3
-
↑

+
-

EGeny = =

(opt-X[]
+ molts) + ts
·
Nar &eny =

[eos]2(lnxs = X2

Soluciones de otras EDE Y= e con dXe =

Mat + o dw &

·
a) Ye =
e b) Y =
Cons aws
byt =

df(t ,
X+ ) =
f + 4t + fx ¢ X+ + fxx[aX ]2 +

.. =ch *

=0
hsdWs derivadas of 0 x
by
-
= ·
= c
=

Yo- Yo %"hs aw
by d[e ) =
**
=
Odt + 2 . (Mat or) + + ce [0dt] *

#cet ESY +7= E4( "nsaws ] = d(e ] [(M con codw)

*
* +
+
.
-
=
e

#Gety =
est => ( + de Volatilidad
Tendencia

+ 50

/27 =
gr

#[x] Nar[x1 b2 Var(27

or
[e01] e
+

Considere
=

X
=
=
a
una va . con
,

Wi- Nor 10 ,
io dS +
=
MS+ dt +
oSt dwe

~
Vi Nor (0 1) .

SOLUCIÓN :
Se-So dato we

-t 1we
e
+

rorm (10 ,
0 , 1) + Para R. Se =

get
+ we

Sin Si M(dt) + o (dwt) ormula Recursiva Se =

-

solución exacta

Six =
Si +
M(st) + o(swi) E4S 3 +
:
El + We]
En 10 (0 1) 1( 289) N :t We No (t ,
Se
So
= + . + -
0 .

Log Nor( t)
*

MDG L : =
e ~ +,

Sin-Si =
M(Si)(1t) + o(Si) (Awi) #L) ESe : =
Esctwal
- tt
+ +02
Sin =
Si +
MSi Ati + O Si DWi =
yu

Six =
Si [1 +
Mat +
Obwi]