Stochastic Processes and Calculus An Elementary Introduction with Applications /

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a...

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Bibliographic Details
Main Author: Hassler, Uwe (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edition:1st ed. 2016.
Series:Springer Texts in Business and Economics,
Subjects:
Online Access:Full Text via HEAL-Link
Table of Contents:
  • Introduction
  • Part I Time Series Modeling
  • Basic Concepts from Probability Theory
  • Autoregressive Moving Average Processes (ARMA)
  • Spectra of Stationary Processes
  • Long Memory and Fractional Integration
  • Processes with Autoregressive Conditional Heteroskedasticity (ARCH)
  • Part II Stochastic Integrals
  • Wiener Processes (WP)
  • Riemann Integrals
  • Stieltjes Integrals
  • Ito Integrals
  • Ito’s Lemma
  • Part III Applications
  • Stochastic Differential Equations (SDE)
  • Interest Rate Models
  • Asymptotics of Integrated Processes
  • Trends, Integration Tests and Nonsense Regressions
  • Cointegration Analysis.