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portada Stochastic Processes and Calculus: An Elementary Introduction with Applications
Type
Physical Book
Author
Publisher
Language
English
Pages
391
Format
Paperback
Dimensions
23.4x15.6x2.1 cm
Weight
0.58 kg.
ISBN13
9783319794822
Categories

Stochastic Processes and Calculus: An Elementary Introduction with Applications

Uwe Hassler (Author) · Springer · Paperback

Stochastic Processes and Calculus: An Elementary Introduction with Applications - Hassler, Uwe

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Synopsis "Stochastic Processes and Calculus: An Elementary Introduction with Applications "

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.

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