國立虎尾科技大學 |

Stochastic processes and calculus = an elementary introduction with applications /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic processes and calculus/ by Uwe Hassler.
Reminder of title:	an elementary introduction with applications /
Author:	Hassler, Uwe.
Published:	Cham :Springer International Publishing : : 2016.,
Description:	xviii, 391 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
Subject:	Game theory. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-23428-1
ISBN:	9783319234281

Stochastic processes and calculus = an elementary introduction with applications /
Hassler, Uwe.

Stochastic processes and calculusan elementary introduction with applications /[electronic resource] :by Uwe Hassler. - Cham :Springer International Publishing :2016. - xviii, 391 p. :ill., digital ;24 cm. - Springer texts in business and economics,2192-4333. - Springer texts in business and economics..

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 -- Ito's Lemma -- Part III Applications -- Stochastic Differential Equations (SDE) -- Interest Rate Models -- Asymptotics of Integrated Processes -- Trends, Integration Tests and Nonsense Regressions -- Cointegration Analysis.

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.

ISBN: 9783319234281

Standard No.: 10.1007/978-3-319-23428-1doiSubjects--Topical Terms:

556918
Game theory.

LC Class. No.: HB135

Dewey Class. No.: 330.1

Stochastic processes and calculus = an elementary introduction with applications /
LDR:02952nam a2200325 a 4500 001 861482
003 DE-He213
005 20160811134116.0
006 m d
007 cr nn 008maaau
008 170720s2016 gw s 0 eng d
020 $a 9783319234281 $q (electronic bk.)
020 $a 9783319234274 $q (paper)
024 7 $a 10.1007/978-3-319-23428-1 $2 doi
035 $a 978-3-319-23428-1
040 $a GP $c GP
041 0 $a eng
050 4 $a HB135
072 7 $a KCA $2 bicssc
072 7 $a BUS069030 $2 bisacsh
082 0 4 $a 330.1 $2 23
090 $a HB135 $b .H355 2016
100 1 $a Hassler, Uwe. $3 1072177
245 1 0 $a Stochastic processes and calculus $h [electronic resource] : $b an elementary introduction with applications / $c by Uwe Hassler.
260 $a Cham : $c 2016. $b Springer International Publishing : $b Imprint: Springer,
300 $a xviii, 391 p. : $b ill., digital ; $c 24 cm.
490 1 $a Springer texts in business and economics, $x 2192-4333
505 0 $a 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 -- Ito's Lemma -- Part III Applications -- Stochastic Differential Equations (SDE) -- Interest Rate Models -- Asymptotics of Integrated Processes -- Trends, Integration Tests and Nonsense Regressions -- Cointegration Analysis.
520 $a 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.
650 0 $a Game theory. $3 556918
650 0 $a Economics, Mathematical. $3 528442
650 0 $a Statistics. $3 556824
650 0 $a Economics. $3 555568
650 0 $a Econometrics. $3 556981
650 0 $a Macroeconomics. $3 554837
650 2 4 $a Economic Theory/Quantitative Economics/Mathematical Methods. $3 1069071
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 669275
650 2 4 $a Quantitative Finance. $3 669372
650 2 4 $a Macroeconomics/Monetary Economics//Financial Economics. $3 1069052
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 669497
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
830 0 $a Springer texts in business and economics. $3 882433
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-23428-1
950 $a Economics and Finance (Springer-41170)