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Textbook::Introduction to Stochastic Calculus for Finance: A New Didactic Approach
Author(s): Dieter Sondermann
Description:
The notes are based on courses offered regularly to graduate students in economics and mathematics at the University of Bonn choosing financial economics"as special topic. To students interested in finance the course opens a quick (but by no means "dirty") road to the tools required for advanced finance. One can start the course with what theyknow about real analysis (e.g. Taylor's Theorem) and basic probability theory as usually taught in undergraduate courses in economic depart-ments and business schools. What is needed beyond (collected in Chap.
1) can be explained, if necessary, in a few introductory hours.
The content of these notes was also presented, sometimes in condensed form, to MA students at the IMPA in Rio, ETH Zürich, to practi-tioners in the finance industry, and to PhD students and professors of mathematics at the Weizmann institute. There was always a positive feedback. In particular, the pathwise Föllmer approach to stochastic calculus was appreciated also by mathematicians not so much famil-
iar with stochastics, but interested in mathematical finance. Thus the course proved suitable for a broad range of participants with quite different background.
Introduction to Stochastic Calculus for Finance_ A New Didactic Approach.pdf
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