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- DescriptionThis textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and ecomics, more specifically mathematical finance and time series ecometrics. 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 ecometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nstationary 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.
- Author BiographyUwe Hassler studied mathematics and economics at Freie Universitat Berlin and specialized in statistics and econometrics at the London School of Economics. He completed his doctoral studies in 1993 at Freie Universitat. Hassler published in leading field journals such as Econometric Theory, Journal of Econometrics and Journal of Time Series Analysis. His main research interests are within the field of time series analysis. Since 2003 he is Professor of Statistics and Econometric Methods at Goethe University Frankfurt, Germany. Prior to joining Goethe University he held permanent or visiting positions at leading universities in Darmstadt, Munich and Muenster (Germany), and in Madrid (Spain). He has been teaching stochastic processes and calculus for 15 years.
- Author(s)Uwe Hassler
- PublisherSpringer International Publishing AG
- Date of Publication13/12/2015
- SubjectScience & Mathematics: Textbooks & Study Guides
- Series TitleSpringer Texts in Business and Economics
- Place of PublicationCham
- Country of PublicationSwitzerland
- ImprintSpringer International Publishing AG
- Content Note24 black & white illustrations, 21 colour illustrations, biography
- Weight777 g
- Width155 mm
- Height235 mm
- Spine24 mm
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