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Stochastic Processes and Calculus: An Elementary Introduction with Applications

的圖書
Stochastic Processes and Calculus: An Elementary Introduction with Applications Stochastic Processes and Calculus: An Elementary Introduction with Applications

作者:Hassler 
出版社:Springer
出版日期:2019-03-30
語言:英文   規格:平裝 / 391頁 / 23.37 x 15.49 x 2.03 cm / 普通級/ 初版
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圖書名稱:Stochastic Processes and Calculus: An Elementary Introduction with Applications

內容簡介

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.

 

作者簡介

Uwe Hassler studied mathematics and economics at Freie Universität Berlin and specialized in statistics and econometrics at the London School of Economics. He completed his doctoral studies in 1993 at Freie Universität. 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.

 

詳細資料

  • ISBN:9783319794822
  • 規格:平裝 / 391頁 / 23.37 x 15.49 x 2.03 cm / 普通級 / 初版
  • 出版地:美國
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