Introduction to Stochastic Calculus for Finance 1st edition by Dieter Sondermann 9783540348375 3540348379

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 ISBN 10:3540348379

ISBN 13:9783540348375

Author: Dieter Sondermann

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, thberg Production: LE-T X, Jelonek, Schmidt & Vöckler GbR, Leipzig E SPIN 11769675 Printeat 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, Heideld 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.

Introduction to Stochastic Calculus for Finance 1st Table of contents:

Preliminaries

Introduction 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

 

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