Introduction to stochastic calculus for finance. A new didactic approach.
From MaRDI portal
Publication:2498044
DOI10.1007/3-540-34837-9zbMATH Open1136.91014OpenAlexW2803385517MaRDI QIDQ2498044FDOQ2498044
Authors: Dieter Sondermann 
Publication date: 7 August 2006
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/3-540-34837-9
Recommendations
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic processes (60Gxx)
Cited In (31)
- Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
- Elementary stochastic calculus for finance with infinitesimals
- Constructing functions with prescribed pathwise quadratic variation
- Dynamics of solvency risk in life insurance liabilities
- On a class of generalized Takagi functions with linear pathwise quadratic variation
- Valuation and hedging of cryptocurrency inverse options
- Simplified stochastic calculus with applications in economics and finance
- A note on the distribution of multivariate Brownian extrema
- Trading strategies generated pathwise by functions of market weights
- Model-free portfolio theory and its functional master formula
- Pathwise stochastic calculus with local times
- Stochastic calculus with infinitesimals
- Book Review: Stochastic calculus for finance
- Testing for Threshold Diffusion
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- An alternative approach to stochastic calculus for economic and financial models
- Financial economics without probabilistic prior assumptions
- Pathwise integrals and Itô-Tanaka formula for Gaussian processes
- Foreign currency bubbles
- Model-free CPPI
- Itô-Föllmer calculus in Banach spaces. I: The Itô formula
- Pricing by hedging and no-arbitrage beyond semimartingales
- Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
- Pathwise no-arbitrage in a class of delta hedging strategies
- Arbitrage bounds for prices of weighted variance swaps
- A mathematical theory of financial bubbles
- From Stochastic Calculus to Mathematical Finance
- Arbitrage and hedging in a non probabilistic framework
- Integral representation of random variables with respect to Gaussian processes
- Probabilistic aspects of finance
- Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
This page was built for publication: Introduction to stochastic calculus for finance. A new didactic approach.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2498044)
