Stochastic Processes and Calculus

An Elementary Introduction with Applications

  • Uwe Hassler

Part of the Springer Texts in Business and Economics book series (STBE)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Uwe Hassler
    Pages 1-10
  3. Time Series Modeling

    1. Front Matter
      Pages 11-11
    2. Uwe Hassler
      Pages 13-43
    3. Uwe Hassler
      Pages 77-101
    4. Uwe Hassler
      Pages 103-126
  4. Stochastic Integrals

    1. Front Matter
      Pages 149-149
    2. Uwe Hassler
      Pages 151-177
    3. Uwe Hassler
      Pages 179-197
    4. Uwe Hassler
      Pages 199-211
    5. Uwe Hassler
      Pages 213-237
    6. Uwe Hassler
      Pages 239-258
  5. Applications

    1. Front Matter
      Pages 259-259
    2. Uwe Hassler
      Pages 261-283
    3. Uwe Hassler
      Pages 285-302
    4. Uwe Hassler
      Pages 303-330
    5. Uwe Hassler
      Pages 353-382
  6. Back Matter
    Pages 383-391

About this book


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.


Asymptotic theory Cointegration Financial economics Mathematical finance Nonstationary processes Quantitative finance Stochastic calculus Stochastic differential equations Stochastic integrals Stochastic processes Time series modeling

Authors and affiliations

  • Uwe Hassler
    • 1
  1. 1.Faculty of Economics and Business AdminiGoethe University FrankfurtFrankfurtGermany

Bibliographic information

  • DOI
  • Copyright Information Springer International Publishing Switzerland 2016
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-23427-4
  • Online ISBN 978-3-319-23428-1
  • Series Print ISSN 2192-4333
  • Series Online ISSN 2192-4341
  • Buy this book on publisher's site
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Finance, Business & Banking