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Using Random Walks to Model Stock Prices

+1 vote
asked Mar 24, 2016 in STA 3045F - Adv. Stochastic Processes by Richard van Gysen (3,180 points)
edited Mar 25, 2016 by simon_rigby

Does anyone know of any books or resources that model stock prices or any security prices using random walks?

1 Answer

+1 vote
answered Mar 25, 2016 by Chris_Baker (430 points)
selected Apr 3, 2016 by simon_rigby
Best answer
The ideas of random walks form the basis for Brownian Motion, which is the foundation of share price processes and therefore modelling derivatives. 

Look at:
Shreve,Stochastic Calculus I
Shreve, Stochastic Calculus for Finance II Continuous-Time Models
Baxter and Rennie, Financial Calculus