UID:
almahu_9949285276802882
Format:
X, 138 p.
,
online resource.
Edition:
1st ed. 2006.
ISBN:
9783540348375
Series Statement:
Lecture Notes in Economics and Mathematical Systems, 579
Content:
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.
Note:
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.
In:
Springer Nature eBook
Additional Edition:
Printed edition: ISBN 9783540825258
Additional Edition:
Printed edition: ISBN 9783540348368
Language:
English
DOI:
10.1007/3-540-34837-9
URL:
https://doi.org/10.1007/3-540-34837-9
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