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Cookie akzeptierenLudger Rüschendorf
Stochastic Processes and Financial Mathematics
- Springer Berlin Heidelberg
- 2023
- Taschenbuch
- 316 Seiten
- ISBN 9783662647103
The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered. Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. using stochastic differential equations.
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