Stochastic Processes and Calculus: An Elementary Introduction with Applications (Springer Texts in Business and Economics) by Uwe Hassler | (PDF) Free Download

Description

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.

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐The text is great and could be used as a stand alone textbook or as a supplement.This is definitely a textbook written with the student in mind (students of business specifically) so the prerequisites are kept to a minimum. Everything the author does is explained and explained concisely. Does not ramble on or skip steps in examples and the logical progression is coherent. There are several examples that serve to reiterate the general idea of the theory, but I would like more.There are questions in the back of each chapter varying in difficulty and there are solutions to each question! This text should sufficiently prepare you for more complicated and theoretical texts. You could also use it along side those textbooks to help gain some insight. Some authors have a habit of omitting details and this book could be used to fill in the gaps.This book serves as a great introduction to anyone that has taken courses up to ODE/PDE at a minimum. the author never states what the prerequisites are (I don’t believe), but as far as I can tell ODE/PDE is sufficient. The probability is developed from the ground up (with examples and problems). I’d like to add that measure theory is not used, but probability spaces are introduced.For a second edition I would like more “computational” examples/exercises as well. The exercises in which we are asked to derive certain ideas/definitions/etc. are fine as is. I think this could help bridge the gap from being used as a supplemental textbook to a standalone textbook (in my opinion). It could also help see value in this topic that many people study for applied purposes.Finally would I recommend this book? It depends, as an Introduction to Stochastic Processes and Calculus, yes. But if you have interest in finance and that is why you wish to learn Stochastic Calculus, then at $100 I don’t think that I can. There are other texts that can be considered more “complete” such as Shreve that is much cheaper (but more technical: pick your poison). Shreve actually utilizes measure theory, constructs the lebesgue integral, etc. and it’s VERY understandable. The content will be difficult regardless, and that text is more difficult than this one, but it is written in the most straightforward, clearest way possible. Even though it is more difficult I definitely recommend that text and the one by Mikosch on the subject of stochastic calculus (at that level, which is a level higher than this text).If you go to university check if you can sign into the SpringerLink website using your institution’s login credentials. I can definitely recommend this book to anyone for $25.

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