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Research Article Open access CC BY 4.0

A Useful Result on the Covariance Between Ito Integrals

Tristan Guillaume

Journal of Advances in Mathematics and Computer Science · pp. 1–12 · Published 30 Dec 2017

10.9734/JAMCS/2017/38464

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.

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

References (10)

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