000			02843cam a22002657a 4500
001			137788
003			ISI Library, Kolkata
005			20170822124434.0
008			040727s2004 nyua b 001 0 eng d
020			_a9783319234274
040			_aISI Library
082	0	4	_a330.0151 _223 _bH355
100	1		_aHassler, Uwe, _eauthor
245	1	0	_aStochastic processes and calculus : _can elementary introduction with application / _bUwe Hassler.
260			_aCham : _bSpringer, _c2016.
300			_axviii, 391 pages : _billustrations ; _c24 cm.
490	0		_aSpringer texts in business and economics
504			_aIncludes bibliographical references and index.
505	0		_a1. Introduction.- Part I Time Series Modeling.- 2. Basic Concepts from Probability Theory.- 3. Autoregressive Moving Average Processes (ARMA).- 4. Spectra of Stationary Processes.- 5. Long Memory and Fractional Integration.- 6. Processes with Autoregressive Conditional Heteroskedasticity (ARCH).- Part II Stochastic Integrals.- 7. Wiener Processes (WP).- 8. Riemann Integrals.- 9. Stieltjes Integrals.- 10. Ito Integrals.- 11. Ito's Lemma.- Part III Applications.- 12. Stochastic Differential Equations (SDE).- 13. Interest Rate Models.- 14. Asymptotics of Integrated Processes.- 15. Trends, Integration Tests and Nonsense Regressions.- 16. Cointegration Analysis.
520			_aThis 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	_aMathematical Economics.
650		0	_aEconometrics.
650		0	_aFinance _xMathematical methods.
942			_2ddc _cBK
999			_c424071 _d424071