Introduction to Stochastic Calculus for Finance: A New Didactic Approach by Diet

Description: Introduction to Stochastic Calculus for Finance by Dieter Sondermann 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. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description to Stochastic 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, speci?cally 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 speci?c 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 stochastic calculus. Notes Takes a pedagogical approachOffers quick but not "dirty" tools for advanced finance in real timeAssumes familiarity with elementary real analysis and basic probability theory Back Cover 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 F 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. Review 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) Long Description to Stochastic 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, specically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microlm 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 Review Quote 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) Feature Takes a pedagogical approach Offers quick but not "dirty" tools for advanced finance in real time Assumes familiarity with elementary real analysis and basic probability theory Details ISBN3540348360 Author Dieter Sondermann Short Title INTRO TO STOCHASTIC CALCULUS F Language English ISBN-10 3540348360 ISBN-13 9783540348368 Media Book Format Paperback Series Number 579 Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K Subtitle A New Didactic Approach Place of Publication Berlin Country of Publication Germany Edition 1st Pages 138 Illustrations X, 138 p. DEWEY 332.0151922 DOI 10.1604/9783540348368;10.1007/3-540-34837-9 Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Edition Description 1st ed. 2006. Corr. 3rd printing 2007 Series Lecture Notes in Economics and Mathematical Systems Audience Undergraduate Year 2006 Publication Date 2006-07-27 We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:96262930;

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