Introduction to Stochastic Calculus for Finance : A New Didactic Approach

by Dieter Sondermann

Useful for mathematicians interested in the methods of modern mathematical finance without prior knowledge of advanced stochastic analysis, this book contains lecture notes which start with an elementary approach to stochastic calculus due to Follmer, who showed that one can develop Ito's calculus "pathwise" as an exercise in real analysis

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Year of publication:	2006
Authors:	Sondermann, Dieter
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Ito-Calculus \| Finanzmathematik \| Mathematical finance \| Stochastischer Prozess \| Stochastic process \| Kapitalmarkttheorie \| Financial economics \| Theorie \| Theory \| Martingal \| Martingale \| Stochastisches Modell
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

Extent:	Online-Ressource (X, 136 p. 6 illus, online resource)
Series:	Lecture Notes in Economics and Mathematical Systems ; 579 SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references Introduction; Preliminaries; Introduction to Itô-Calculus; The Girsanov Transformation; Application to Financial Economics; Term Structure Models; Why Do We Need Itô-Calculus in Finance?; Appendix: Itô Calculus Without Probabilities
ISBN:	978-3-540-34837-5 ; 978-3-540-34836-8
Other identifiers:	10.1007/3-540-34837-9 [DOI]
Classification:	Wahrscheinlichkeitsrechnung ; Methoden und Techniken der Betriebswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013520563