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Ito's Calculus for Stock Price Prediction for the Johannesburg Stock Exchange Market
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Author(s): Nzotem Tchoumi Cyrille Audrey (University of Ngaoundere, Cameroon), Jimbo Henri Claver (Samarkand International University of Technology, Uzbekistan), Boris Zourmba Tizi (University of Ngaoundere, Cameroon), Tchoua Paul (University of Ngaoundere, Cameroon)and Eze Eze Donatien (University of Ngaoundere, Cameroon)
Copyright: 2025
Pages: 36
Source title:
Data Analytics and AI for Quantitative Risk Assessment and Financial Computation
Source Author(s)/Editor(s): Mohammad Gouse Galety (Samarkand International University of Technology, Uzbekistan), Jimbo Henri Claver (Samarkand Interntional University of Technology, Uzbekistan), A. V. Sriharsha (Mohan Babu University, India), Narasimha Rao Vajjhala (University of New York Tirana, Tirana, Albania)and Arul Kumar Natarajan (Samarkand International University of Technology, Uzbekistan)
DOI: 10.4018/979-8-3693-6215-0.ch008
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Abstract
The Johannesburg Stock Exchange is positioned as the leading African stock market and listed among the top twenty in the world, considering market capitalization. Price prediction remains at the center of concerns for stock markets in Africa and the world. Ito's calculus has extended the calculation methods to stochastic processes, Brownian motion, and stochastic differential equations with some relevant applications in mathematical finance. This work aims to present a rigorous mathematical justification for the models used by financial practitioners for pricing derivatives and managing risk. Additionally, this research will develop mathematical models, background of pricing models with comprehensive proofs, and test their reliability with historical data collected from the Johannesburg Stock Exchange for future decision-making.
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