Introduction to Stochastic Calculus for Finance: A New Didactic Approach: By …


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Publication Year: 2007
Format: Paperback Language: English




Introduction to Stochastic Calculus for Finance: A New Didactic Approach: By …

Product Details

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. 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 (c) 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 & Vockler 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.”

Product Identifiers
ISBN-10 3540348360
ISBN-13 9783540348368

Key Details
Author Dieter Sondermann
Number Of Pages 138 pages
Series Lecture Notes in Economics and Mathematical Systems
Format Paperback
Publication Date 2007-02-09
Language English
Publisher Springer
Publication Year 2007

Additional Details
Series Volume Number 579
Number of Volumes 1 vol.
Copyright Date 2006
Illustrated Yes

Weight 17.3 Oz
Width 6.1 In.
Length 9.3 In.

Target Audience
Group Scholarly & Professional

Classification Method
LC Classification Number HB71-74QA1-939HB172.
Dewey Decimal 332.0151922
Dewey Edition 22

Table Of Content
Preliminaries.- Introduction to Ito-Calculus.- The Girsanov Transformation.- Application to Financial Economics.- Term Structure Models.- Why Do We Need Ito-Calculus in Finance’.- Appendix

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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