EAN: 9783319234274

STOCHASTIC PROCESSES AND CALCULUS - UWE HASSLER...

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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