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Springer Texts in Business and Economics

Stochastic Processes and Calculus

An Elementary Introduction with Applications

Autoren: Hassler, Uwe

  • Gives a comprehensive introduction to stochastic processes and calculus in finance and economics
  • Provides both a basic, easy-to-understand presentation of the topic and technically advanced arguments
  • Offers numerous examples, exercise problems, and solutions
Weitere Vorteile

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eBook 63,06 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-23428-1
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF, EPUB
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Hardcover 80,24 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-23427-4
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
Über dieses Lehrbuch

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 decisive role in the modeling of financial markets and as a basis for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes.

This introduction is elementary and rigorous at the same time. On the one hand it gives a basic and illustrative presentation of the relevant topics without using many technical derivations. On the other hand many of the procedures are presented at a technically advanced level: for a thorough understanding, they are to be proven. In order to meet both requirements jointly, the present book is equipped with a lot of challenging problems at the end of each chapter as well as with the corresponding detailed solutions. Thus the virtual text - augmented with more than 60 basic examples and 40 illustrative figures - is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions.

Über den Autor

Uwe Hassler studied mathematics and economics at Freie Universität Berlin and specialized in statistics and econometrics at the London School of Economics. He completed his doctoral studies in 1993 at Freie Universität. Hassler published in leading field journals such as Econometric Theory, Journal of Econometrics and Journal of Time Series Analysis. His main research interests are within the field of time series analysis. Since 2003 he is Professor of Statistics and Econometric Methods at Goethe University Frankfurt, Germany. Prior to joining Goethe University he held permanent or visiting positions at leading universities in Darmstadt, Munich and Muenster (Germany), and in Madrid (Spain). He has been teaching stochastic processes and calculus for 15 years.

Stimmen zum Buch

“The book is quite readable and can be used as a textbook for the application of mathematical theory in the area of econometrics. Also, a mathematician might benefit from an intuitive exposition of some different and specific types of integration appearing in the theory of stochastic processes. The book might then serve as starting point for a more detailed study of the mathematical foundation of the topics presented.” (Ludger Overback, Mathematical Reviews, October, 2016)

“The book covers both discrete and continuous time stochastic processes, and it is of course in the second area where mathematical intricacies abound. … All this is very much up to date and provides a most useful introduction to modern time series methods for anybody wishing to understand the mechanics without having to dig too deep into the mathematical foundations.” (Walter Krämer, Statistics Papers, Vol. 57, 2016)

“The construction of this book is based on the author experience of 15 years of teaching stochastic processes and calculus. … book is therefore a very successful work on the task of providing the largest number of readers an introduction to stochastic processes and calculus simultaneously accessible and rigorous, with a wide exemplification of applications in various fields. Very important for readers in the fields of mathematics, finance and econometrics and also in biology, engineering or physics, but not only.” (Prof. Dr. Manuel Alberto M. Ferreira, Acta Scientiae et Intellectus, Vol. 2 (2), 2016)



Video

Inhaltsverzeichnis (16 Kapitel)

Dieses Buch kaufen

eBook 63,06 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-23428-1
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF, EPUB
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Hardcover 80,24 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-23427-4
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
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Bibliografische Information

Bibliographic Information
Buchtitel
Stochastic Processes and Calculus
Buchuntertitel
An Elementary Introduction with Applications
Autoren
Titel der Buchreihe
Springer Texts in Business and Economics
Copyright
2016
Verlag
Springer International Publishing
Copyright Inhaber
Springer International Publishing Switzerland
eBook ISBN
978-3-319-23428-1
DOI
10.1007/978-3-319-23428-1
Hardcover ISBN
978-3-319-23427-4
Buchreihen ISSN
2192-4333
Auflage
1
Seitenzahl
XVIII, 391
Anzahl der Bilder
24 schwarz-weiß Abbildungen, 21 Abbildungen in Farbe
Themen