MARC details
| 000 -LEADER |
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| fixed length control field |
02843cam a22002657a 4500 |
| 001 - CONTROL NUMBER |
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| control field |
137788 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ISI Library, Kolkata |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20170822124434.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
040727s2004 nyua b 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783319234274 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
ISI Library |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
330.0151 |
| Edition number |
23 |
| Item number |
H355 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Hassler, Uwe, |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Stochastic processes and calculus : |
| Statement of responsibility, etc |
an elementary introduction with application / |
| Remainder of title |
Uwe Hassler. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Cham : |
| Name of publisher, distributor, etc |
Springer, |
| Date of publication, distribution, etc |
2016. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xviii, 391 pages : |
| Other physical details |
illustrations ; |
| Dimensions |
24 cm. |
| 490 0# - SERIES STATEMENT |
|---|
| Series statement |
Springer texts in business and economics |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
1. Introduction.-<br/> Part I Time Series Modeling.- <br/>2. Basic Concepts from Probability Theory.- <br/>3. Autoregressive Moving Average Processes (ARMA).- <br/>4. Spectra of Stationary Processes.- <br/>5. Long Memory and Fractional Integration.- <br/>6. Processes with Autoregressive Conditional Heteroskedasticity (ARCH).- <br/>Part II Stochastic Integrals.- <br/>7. Wiener Processes (WP).- <br/>8. Riemann Integrals.- <br/>9. Stieltjes Integrals.- <br/>10. Ito Integrals.- <br/>11. Ito's Lemma.- <br/>Part III Applications.- <br/>12. Stochastic Differential Equations (SDE).- <br/>13. Interest Rate Models.- <br/>14. Asymptotics of Integrated Processes.- <br/>15. Trends, Integration Tests and Nonsense Regressions.- <br/>16. Cointegration Analysis. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematical Economics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Econometrics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Mathematical methods. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
