Ito's Lemma

[wendigo100]

Cracking young bird sat down next to me on the train yesterday. But before I could switch on the Wendigo charms, she started reading a book about Ito's Lemma.

Is everyone into derivatives these days except me?

[Moscow Mule]

Cracking young bird sat down next to me on the train yesterday. But before I could switch on the Wendigo charms, she started reading a book about Ito's Lemma.

Is everyone into derivatives these days except me?

I'm not. They **** with my head.

[sasguru]

Cracking young bird sat down next to me on the train yesterday. But before I could switch on the Wendigo charms, she started reading a book about Ito's Lemma.

Is everyone into derivatives these days except me?

Yes. Next.

[wobbegong]

Cracking young bird sat down next to me on the train yesterday. But before I could switch on the Wendigo charms, she started reading a book about Ito's Lemma.

. . . and tucked inside was the lastest Mills & Boon.

"his muscular arms enfolded her softly yielding body" etc etc

[DimPrawn]

I prefer long multiplication.

[wendigo100]

. . . and tucked inside was the lastest Mills & Boon.

"his muscular arms enfolded her softly yielding body" etc etc

Then he was quoting some f***-off long equations while he was doing it!

[TheFaQQer]

I had to google what it was:

In mathematics, Itō's lemma is used in stochastic calculus to find the differential of a function of a particular type of stochastic process. It is the stochastic calculus counterpart of the chain rule in ordinary calculus and is best memorized using the Taylor series expansion and retaining the second order term related to the stochastic component change. The lemma is widely employed in mathematical finance.

Still confused, so no I'm not into derivatives.

[wendigo100]

I had to google what it was:



Still confused, so no I'm not into derivatives.

Nor am I, but as I understand it, its particular use is that it removes the bias from a binomial tree from start values, which tip the results lower, and end values, which tip them higher, and sort of averages them instead.

Do I sound like I know what I'm talking about?

[oracleslave]

Nor am I, but as I understand it, its particular use is that it removes the bias from a binomial tree from start values, which tip the results lower, and end values, which tip them higher, and sort of averages them instead.

Do I sound like I know what I'm talking about?

No, you should have used 'stochastic' in there a few times.

[sasguru]

If you really are curious and want an overview, I recommend this - it's not too mathematical:

http://www.amazon.com/Derivatives-To...f=cm_lmf_tit_2