Advertisement

Stochastic Integrals and Differential Equations

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

This chapter provides the tools needed for option pricing. The field of stochastic processes in continuous time, which are defined as solutions of stochastic differential equations, has an important role to play.

References

  1. Karatzas, I., & Shreve, S. (1999). Brownian motion and stochastic calculus. Heidelberg: Springer-Verlag.zbMATHGoogle Scholar
  2. Mikosch, T. (1998). Elementary stochastic calculus with finance in view. Singapore: World Scientific.CrossRefGoogle Scholar
  3. von Weizsäcker, H., & Winkler, G. (1990). Stochastic integrals. Braunschweig: Vieweg.CrossRefGoogle Scholar

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

Personalised recommendations