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Introduction to Stochastic Calculus for Finance

A New Didactic Approach

  • Book
  • © 2006

Overview

Authors:
  1. Dieter Sondermann

    1. Department of Economics, University of Bonn, Bonn, Germany

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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 579)

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Table of contents (8 chapters)

  1. Front Matter

    Pages I-X
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  2. Introduction

    Pages 1-2

  3. Preliminaries

    Pages 3-14

  4. Introduction to Itô-Calculus

    Pages 15-53

  5. The Girsanov Transformation

    Pages 55-65

  6. Application to Financial Economics

    Pages 67-94

  7. Term Structure Models

    Pages 95-112

  8. Why Do We Need Itô-Calculus in Finance?

    Pages 113-124

  9. Appendix: Itô Calculus Without Probabilities

    Pages 125-133

  10. Back Matter

    Pages 135-138
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About this book

to Stochastic Calculus for Finance A New Didactic Approach With 6 Figures 123 Prof. Dr. Dieter Sondermann Department of Economics University of Bonn Adenauer Allee 24 53113 Bonn, Germany E-mail: sondermann@uni-bonn. de ISBN-10 3-540-34836-0 Springer Berlin Heidelberg New York ISBN-13 978-3-540-34836-8 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, speci?cally the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on micro?lm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline. com © Springer-Verlag Berlin Heidelberg 2006 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this pub- cation does not imply, even in the absence of a speci?c statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover: Erich Kirchner, Heidelberg Production: LE-T X, Jelonek, Schmidt & Vöckler GbR, Leipzig E SPIN 11769675 Printed on acid-free paper – 42/3100 – 5 4 3 2 1 0 To Freddy, Hans and Marek, who patiently helped me to a deeper understanding of stochastic calculus.

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)

Authors and Affiliations

  • Department of Economics, University of Bonn, Bonn, Germany

    Dieter Sondermann

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