DE

Event

Stochastic Calculus and Finance [WS172521331]

Type
lecture (V)
Term
WS 17/18
SWS
2
Language
Englisch
Appointments
0

Lecturers

Organisation

  • KIT-Fakultät für Wirtschaftswissenschaften

Part of

Literature

Wird in der Vorlesung bekannt gegeben.

Weiterführende Literatur:

  • Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie, Princeton University Press, 1996
  • Stochastic Calculus for Finance II: Continuous-Time Models, by Steven E. Shreve , Springer, 2003
  • An Introduction to Stochastic Integration (Probability and its Applications) by Kai L. Chung , Ruth J. Williams , Birkhaueser,
  • Methods of Mathematical Finance by Ioannis Karatzas , Steven E. Shreve , Springer 1998
  • Kim Y.S. ,Rachev S.T. ,Bianchi M-L, Fabozzi F. Financial market models with Levy processes and time-varying volatility, Journal of Banking and Finance, 32/7,1363-1378, 2008.
  • Hull, J., Options, Futures, & Other Derivatives, Prentice Hall, Sixth Edition, (2005).