Stochastic Processes and Calculus

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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.

Zusammenfassung

Gives a comprehensive introduction to stochastic processes and calculus in finance and economics

Provides both a basic, easy-to-understand presentation of the topic and technically advanced arguments

Offers numerous examples, exercise problems, and solutions

Inhaltsverzeichnis

Introduction.- Part I Time Series Modeling.- Basic Concepts from Probability Theory.- Autoregressive Moving Average Processes (ARMA).- Spectra of Stationary Processes.- Long Memory and Fractional Integration.- Processes with Autoregressive Conditional Heteroskedasticity (ARCH).- Part II Stochastic Integrals.- Wiener Processes (WP).- Riemann Integrals.- Stieltjes Integrals.- Ito Integrals.- Itös Lemma.- Part III Applications.- Stochastic Differential Equations (SDE).- Interest Rate Models.- Asymptotics of Integrated Processes.- Trends, Integration Tests and Nonsense Regressions.- Cointegration Analysis.

Details

Erscheinungsjahr:	2019
Fachbereich:	Volkswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Reihe:	Springer Texts in Business and Economics
Inhalt:	xviii 391 S. 24 s/w Illustr. 21 farbige Illustr. 391 p. 45 illus. 21 illus. in color.
ISBN-13:	9783319794822
ISBN-10:	3319794825
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Hassler, Uwe
Auflage:	Softcover reprint of the original 1st ed. 2016
Hersteller:	Springer International Publishing Springer International Publishing AG Springer Texts in Business and Economics
Maße:	235 x 155 x 23 mm
Von/Mit:	Uwe Hassler
Erscheinungsdatum:	30.03.2019
Gewicht:	0,622 kg

Artikel-ID: 115103157