Introduction to stochastic calculus for finance : a new didactic approach / Dieter Sondermann
Material type:
TextPublication details: New York : Springer, 2006Description: x, 136p, 22cmISBN: - 3540348360
- 332.0151922 SON
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
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Book
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Calcutta | 332.0151922 SON (Browse shelf(Opens below)) | Available | IIMC-119703 |
The large number of already available textbooks on stochastic calculus with specific applications to finance requires a justification for another contribution to this subject. The justification is mainly pedagogical.These lecture notes start with an elementary approach to stochastic , calculus due to Follmer, who showed that one can develop Ito's calculus pathwise as an exercise in real analysis. The text opens to students interested in finance 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 HJMframework and the Libor market model. The reader is supposed only to be familiar with elementary real analysis (e.g. Taylor's Theorem) and basic probability theory.
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