Introduction to Stochastic Calculus for Finance

A New Didactic Approach

Dieter Sondermann

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English

Springer Verlag
01 September 2006

Economics; Mathematics & Sciences; Mathematics

Series: Lecture Notes in Economics and Mathematical Systems

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.

By: Dieter Sondermann
Imprint: Springer Verlag
Country of Publication: Germany
Dimensions: Height: 235mm, Width: 155mm, Spine: 8mm
Weight: 490g
ISBN: 9783540348368
ISBN 10: 3540348360
Series: Lecture Notes in Economics and Mathematical Systems
Publication Date: 01 September 2006
Audience: College/higher education , A / AS level
Format: Paperback
Publisher's Status: Active

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.

Reviews for Introduction to Stochastic Calculus for Finance: A New Didactic Approach

"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)"