Introduction to Stochastic Calculus for Finance A New Didactic Approach /

• Main Author: Sondermann, Dieter (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Lecture Notes in Economics and Mathematical Systems, 579
• Subjects: Finance.; Mathematics.; Probabilities.; Statistics.; Economics.; Management science.; Macroeconomics.; Economics, general.; Mathematics, general.; Macroeconomics/Monetary Economics//Financial Economics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Probability Theory and Stochastic Processes.; Finance, general.

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...

Table of Contents:

• 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.