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Introduction to Stochastic Calculus for Finance

Author

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  • Dieter Sondermann

    (University of Bonn)

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Suggested Citation

  • Dieter Sondermann, 2006. "Introduction to Stochastic Calculus for Finance," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-34837-5, October.
    • Handle: RePEc:spr:lnecms:978-3-540-34837-5
    DOI: 10.1007/3-540-34837-9
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    Citations

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    Cited by:

    1. Ehsan Azmoodeh & Esko Valkeila, 2013. "Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 16(2), pages 97-112, July.
    2. Frank Riedel, 2015. "Financial economics without probabilistic prior assumptions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 75-91, April.
    3. Azmoodeh Ehsan & Mishura Yuliya & Valkeila Esko, 2009. "On hedging European options in geometric fractional Brownian motion market model," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 129-144, December.
    4. Csosz Csongor & Erdos Alpar, 2021. "Application Of The Taylor Polynom In Stock Exchange Market Analysis," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 15-36, June.
    5. Jos'e Igor Morlanes, 2017. "Mixed Models as an Alternative to Farima," Papers 1712.03044, arXiv.org.
    6. Fei Su & Kung-Sik Chan, 2017. "Testing for Threshold Diffusion," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 218-227, April.
    7. Yan, Ming & Peng, Fanyi & Zhang, Shuhua, 2017. "A reinsurance and investment game between two insurance companies with the different opinions about some extra information," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 58-70.
    8. Ioannis Karatzas & Donghan Kim, 2020. "Trading strategies generated pathwise by functions of market weights," Finance and Stochastics, Springer, vol. 24(2), pages 423-463, April.
    9. Milan Kumar Das & Anindya Goswami & Nimit Rana, 2016. "Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes," Papers 1603.09149, arXiv.org, revised Jan 2018.
    10. A. Fiori Maccioni, 2011. "The risk neutral valuation paradox," Working Paper CRENoS 201112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    11. Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
    12. Tommi Sottinen & Lauri Viitasaari, 2016. "Pathwise Integrals and Itô–Tanaka Formula for Gaussian Processes," Journal of Theoretical Probability, Springer, vol. 29(2), pages 590-616, June.
    13. Chen, Zhe & Leskelä, Lasse & Viitasaari, Lauri, 2019. "Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2723-2757.
    14. Frank Riedel, 2011. "Finance Without Probabilistic Prior Assumptions," Papers 1107.1078, arXiv.org.
    15. Schied, Alexander, 2014. "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 84-94.
    16. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
    17. Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.

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