Stochastic Processes and Calculus: An Elementary Introduction with Applications kindle –

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics,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 processesThis 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 withthanbasic examples andillustrative figures is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions