Stochastic Processes and Calculus

Abstract

By now there exist a number of books describing stochastic integrals and stochastic calculus in an accessible manner. Such introductory books, however, typically address an audience having previous knowledge about and interest in one of the following three fields exclusively: finance, econometrics, or mathematics. The textbook at hand attempts to provide an introduction into stochastic calculus and processes for students from each of these fields. Obviously, this can on no account be an exhaustive treatment. In the next chapter a survey of the topics covered is given. In particular, the book does neither deal with finance theory nor with statistical methods from the time series econometrician’s toolkit; it rather provides a mathematical background for those readers interested in these fields.