Introduction to Stochastic Calculus for Finance: A New Didactic Approach / Edition 1

by Dieter Sondermann

Overview

to Shastic Calculus for Finance A New Didactic Approach With 6 Figures 123 Prof. Dr. Dieter Sondermann Department of Economics University of Bonn Adenauer Allee 24 53113 Bonn, Germany E-mail: sondermann@uni-bonn. de ISBN-10 3-540-34836-0 Springer Berlin Heidelberg New York ISBN-13 978-3-540-34836-8 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on micro?lm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline. com © Springer-Verlag Berlin Heidelberg 2006 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this pub- cation does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover: Erich Kirchner, Heidelberg Production: LE-T X, Jelonek, Schmidt & Vöckler GbR, Leipzig E SPIN 11769675 Printed on acid-free paper – 42/3100 – 5 4 3 2 1 0 To Freddy, Hans and Marek, who patiently helped me to a deeper understanding of shastic calculus.

Product Details

ISBN-13:	9783540348368
Publisher:	Springer Berlin Heidelberg
Publication date:	09/14/2006
Series:	Lecture Notes in Economics and Mathematical Systems , #579
Edition description:	2006
Pages:	138
Product dimensions:	6.10(w) x 9.25(h) x 0.36(d)

Table of Contents

Preliminaries.- 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.

Editorial Reviews

From the reviews:

"It serves as an introduction to shastic 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 shastic 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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