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Introduction to Stochastic Calculus for Finance Dieter Sondermann

Introduction to Stochastic Calculus for Finance By Dieter Sondermann

Introduction to Stochastic Calculus for Finance by Dieter Sondermann


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Summary

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.

Introduction to Stochastic Calculus for Finance Summary

Introduction to Stochastic Calculus for Finance: A New Didactic Approach by Dieter Sondermann

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.

Introduction to Stochastic Calculus for Finance Reviews

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)

Table of Contents

Preliminaries.- to Ito-Calculus.- The Girsanov Transformation.- Application to Financial Economics.- Term Structure Models.- Why Do We Need Ito-Calculus in Finance?.- Appendix: Ito Calculus Without Probabilities.

Additional information

NLS9783540348368
9783540348368
3540348360
Introduction to Stochastic Calculus for Finance: A New Didactic Approach by Dieter Sondermann
New
Paperback
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
2007-02-09
138
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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Customer Reviews - Introduction to Stochastic Calculus for Finance