Simplified stochastic calculus with applications in Economics and Finance

Ales Cerný, Johannes Ruf

Abstract: Highlights•New paradigm for representing and manipulating stochastic processes.•Rigorous, versatile, compact, easy to use calculus.•Unifies continuous-time and discrete-time modelling.•Illustrated with applications in Economics, Engineering, Finance, and Statistics.•New result on the Margrabe option to exchange one defaultable asset for another.