Introduction to Stochastic Calculus for Finance: A New Didactic Approach

by Dieter Sondermann

Although there are many textbooks on stochastic calculus applied to finance, this volume earns its place with a pedagogical approach. The text presents 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 HJM-framework and the Libor market model. The reader should be familiar with elementary real analysis and basic probability theory.

Genres: Economics

148 pages, Paperback

First published January 1, 2006