Introduction to Stochastic Calculus for Finance
A New Didactic Approach
(Sprache: Englisch)
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,...
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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.
Inhaltsverzeichnis zu „Introduction to Stochastic Calculus for Finance “
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.
Bibliographische Angaben
- Autor: Dieter Sondermann
- 2007, 1st ed. 2006. Corr. 3rd printing 2007., 138 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer
- ISBN-10: 3540348360
- ISBN-13: 9783540348368
- Erscheinungsdatum: 09.02.2007
Sprache:
Englisch
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