Literatur zur Vorlesung 'Stochastische Methoden in Finanz und Börse'

Vorlesung Prof. Dr. H.H. Bock, WS 1999/2000


ALEXANDER, C. (ed.): Risk management and analysis. Vol. 1: Measuring and modelling financial risk. Vol. 2: New markets and products. Wiley, New York, 1999.

AMMANN, M.: Pricing derivative credit risk. Springer, Berlin, 1999, 228 S.

ARNOLD, L.: Stochastische Differentialgleichungen. München - Wien, 1973.

AVELLANEDA, M., LAURENCE, P.: Financial modeling an derivative securities. Chapman and Hall, 1999, 268 S.

BACHELIER, L.: Théorie de la spéculation. Ann. Sci. Ecole Normale Supérieure 17 (1900) 21-86.

BAXTER, M., RENNIE, A.: Financial calculus: An introduction to derivative pricing. Cambridge Univ. Press, Cambridge, U.K., 1996, 233 S.

BIAIS, B., et al. (eds.): Financial mathematics. (Lectures given at a tutorial at Bressanone, 1996). Lecture Notes in Mathematics 1656. Springer, Berlin - Heidelberg, 1997, 307 S.

BINGHAM, N.H., KIESEL, R.: Risk neutral valuation. Pricing and hedging of financial derivatives. Springer, Berlin, 1998.

BJOERK, T.: Arbitrage theory in continuous time. Oxford University Press, Oxford, 1998.

BLACK, F., SCHOLES, M.: The pricing of options and corporate liabilities. J. Political Economy 81 (1973) 635-654.

CAMPBELL, J.Y., LO, A.W., MacKINLEY, A.LC.: The econometrics for financial markets. Princeton University Press, 1997.

COX, J., RUBINSTEIN, M.: Option markets. Prentice Hall, Englewoof Cliffs NJ, 1985.

DEMPSTER, M.A.H., Pliska, S.R. (eds.): Mathematics of derivative securities. Cambridge Univ. Press, Cambridge, U.K., 1997, 592 S.

DUBOFSKY, D.A.: Options and financial futures. McGraw-Hill, 1992.

DUNIS, C.: Forecasting financial markets. Exchange rates, interest rates and asset management. Wiley, Chichester, 1996.

EILENBERGER, G.: Lexikon der Finanzinvestitionen. Oldenbourg, München - Wien, 19963, 443 S.

ELLIOTT, R.J.: Stochastic calculus and applications. Springer-Verlag, New York - Heidelberg, 1982, 302 S.

EMBRECHTS, P., KLÜPPELBERG, C., MIKOSCH, Th.: Modelling extremal events for insurance and finance. Springer, Heidelberg, 1997, 645 S.

GOURIEROUX, Ch.: ARCH models and financial applications. Springer-Verlag,
New York, 1997, 228 S.

AND, D.J., JACKA, S.D.: Statistics in finance. Arnold, London (Wiley, New York), 1998, 340 S.

HULL, J.C.: Options, futures, and other derivatives. Prentice-Hall, London, 1997, 572 S.

HUNT, P.J., KENNEDY, J.: Financial drivatives in theory and practice. Wiley, New York, 1998, 300 S.

IRLE, A.: Finanzmathematik - Die Bewertung von Derivaten. Teubner, Stuttgart, 1998, 260 S.

KARATZAS, I.: Lectures on the mathematics of finance. American Mathematical Society, Providence/Rhode island, 1997, 149 S.

KWOK, Y.K.: Mathematical models of financial derivatives. Springer, Singapore, 1998, 386 S.

LAMBERTON, D., LAPEYRE, B.: Introduction to stochastic calculus applied to Finance. Chapman & Hall, London - Weinheim, 1996, 185 S. (= übersetzung der französischen Originalausgabe: Introduction au calcul stochastique appliqué à la finance. SMAI, Ellipses, Paris, 1993).

LOISTL, O.: Computergestütztes Wertpapiermanagement. München, 19924.

LÜCKE, W.: Investitionslexikon. München, 19912.

MERTON, R.C.: Theory of rational option pricing. Bell J. of Economics and Management Sciences 4 (1973) 141-183.

MILLS, T.C.: The econometric modelling of financial time series. Cambridge Univ. Press, Cambridge, U.K., 1993, 241 S. (mit Diskette).

MUSIELA, M., RUTKOWSKI, M.: Martingale methods in financial modelling. Springer-Verlag, Berlin - Heidelberg, 1997, 512 S.

NAGURNEY, A., SIOKOS, S.: Financial networks: statistics and dynamics. Springer, Berlin, 1997, 491 S.

OKSENDAL, B.: Stochastic differential equations. Springer, New York, 19954.

OLFERT, K.: Finanzierung. Friedrich Kiehl Verlag, Ludwigshafen, 19979, 496 S.

PERRIDON, L., STEINER, M.: Finanzwirtschaft der Unternehmung. Verlag Franz Vahlen, München, 19958.

PLISKA, S.R.: Introduction to mathematical finance. Discrete time models. Blackwell, Malden/Mass., 1997, 262 S.

REISS, R.-D., THOMAS, M.: Statistical analysis of extreme values. With applications to insurance, finance, hydrology and other fields. Birkhäuser, Basel - Berlin, 1997.

ROSS, S.A., WESTERFIELD, R.W., JAFFE, J.F.: Corporate finance. Homowood, Ill., 19932.

SANDMANN, K.: Einführung in die Stochastik der Finanzmärkte. Springer, Berlin, 1999, 492 s.

SHAW, W.: Modelling financial derivatives with MATHEMATICA. Cambridge Univ. Press, Cambridge, U.K., 1997.

SPREMANN, Klaus: Wirtschaft, Investition und Finanzierung. Oldenbourg Verlag, München - Wien, 19965, 739 S.

STEINER, M., BRUNS, C.: Wertpapiermanagement. Stuttgart, 19954.

UHLIR, H., STEINER, P.: Wertpapieranalyse. Physica-Verlag, Heidelberg, 19912, 338 S.

USZCZAPOWSKI, I.: Optionen und Futures verstehen. München, 19933.

WILMOTT, P., HOWISON, S., DEWYNNE, J.: The mathematics of financial derivatives. A student introduction. Cambridge Univ. Press, Cambridge, U.K., 1995, 317 S.

WILLMOTT, P., DEWYNNE, J., HOWISON, S.: Option pricing: Mathematical models and computation. Oxford Financial Press, Oxford, 1993.
 

Zeitschriften:

Finance and Stochastics. Springer, Heidelberg (Vol. 1 = 1997).
(Printed and electronic versions, see http://link.springer.de/link/service/journals).

Journal of Financial Economics. (Vol. 3  = 1976)

Journal of Econometrics.

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