ENGLISH

Introduction to Stochastic Calculus for Finance: A New Didactic Approach (Lecture Notes in Economics and Mathematical Systems)

By Dieter Sondermann

Book information

Year
2007
ISBN
3540348360, 9783540348368, 9783540348375
Open Library ID
OL22739637M
Language
english
Format
PDF
Filesize
789 kB (807732 bytes)
Edition
1
Pages
146\144
Topic
Economy
Time added
2011-06-04 13:46:07
Финансово-экономические дисциплины;Финансовая мате

Description

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.

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