Introduction to Stochastic Calculus for Finance: A New Didactic Approach (Lecture Notes in Economics and Mathematical Systems)

Dieter Sondermann

ISBN 10: 3540348360 / ISBN 13: 9783540348368

Editore: Springer 2008-05-23, 2008

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Codice articolo 6666-IUK-9783540348368

Dati bibliografici

• Titolo: Introduction to Stochastic Calculus for Finance: A New Didactic Approach (Lecture Notes in Economics and Mathematical Systems)
• Editore: Springer 2008-05-23
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 3540348360
• ISBN 13: 9783540348368
• Rilegatura: Paperback
• Condizione: New

Descrizione articolo

Riassunto

Although there are many textbooks on stochastic calculus applied to finance, this volume earns its place with a pedagogical approach. The text presents 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 should be familiar with elementary real analysis and basic probability theory.

Dalla quarta di copertina

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.