Introduction to Stochastic Calculus for Finance / Lecture Notes in Economics and Mathematical Systems Bd.579 (PDF)
The large number of already available textbooks on stochastic calculus with specific applications to finance requires a justification for another contribution to this subject. The justifcation is mainly pedagogical. These lecture notes start with an...
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The large number of already available textbooks on stochastic calculus with specific applications to finance requires a justification for another contribution to this subject. The justifcation is mainly pedagogical. These lecture notes start with an elementary approach to stochastic calculus due to Föllmer, who showed that one can develop Ito's calculus "pathwise" as an exercise in real analysis. The text opens to students interested in finance a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model. The reader is supposed only to be familiar with elementary real analysis (e.g. Taylor's Theorem) and basic probability theory. The text is also useful for mathematicians interested in the methods of modern mathematical finance without prior knowledge of advanced stochastic analysis.
- Autor: Dieter Sondermann
- 2006, 2006, 138 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3540348379
- ISBN-13: 9783540348375
- Erscheinungsdatum: 02.12.2006
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Grösse: 1.01 MB
- Ohne Kopierschutz
- Vorlesefunktion
From the reviews:
"It serves as an introduction to stochastic calculus and integration without any measure theoretical background … . In summary the book provides a very readable introduction to mathematical finance. … For a general mathematician it gives a quick insight into the basic concepts of stochastic analysis and mathematical finance and might give some motivation to study the underlying theory in more detail." (Ludger Overbeck, Mathematical Reviews, Issue, 2007 k)
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