Cutting edge introduction

Be discrete


Perhaps the most convenient fiction in financial modelling is the assumption that markets trade in continuous time, with asset price processes solving stochastic differential equations (SDEs). The assumption is as old as the subject itself, having begun with Louis Bachelier formulating his Brownian motion model in 1900, five years before Einstein discovered it in physics.

The trouble comes when an attempt is made to capture this in the inherently discrete world of the computer. Whether it is

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: