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Economists’ Mathematical Manual pp 141–143Cite as

Finance and stochastic calculus

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References

  • For (29.1) and (29.2) see Sharpe (1964). For (29.3) see Black and Scholes (1973). For (29.4) see McDonald and Siegel (1984). For stochastic calculus and stochastic control theory, see Øksendal (1989), Fleming and Rishel (1975), or Karatzas and Shreve (1988). For Itô formulas for general semimartingales (describing processes with jumps), see Protter (1990).

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Authors and Affiliations

  1. Department of Agricultural and Resource Economics, University of California, Berkeley, 207 Giannini Hall, Berkeley, CA, 94720, USA

    Professor Dr. Peter Berck

  2. Department of Economics, University of Oslo, P.O.B. 1095, Blindern, N-0317, Oslo, Norway

    Professor Knut Sydsæter

Authors
  1. Professor Dr. Peter Berck
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  2. Professor Knut Sydsæter
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© 1993 Springer-Verlag Berlin Heidelberg

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Berck, P., Sydsæter, K. (1993). Finance and stochastic calculus. In: Economists’ Mathematical Manual. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-11597-8_29

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  • DOI: https://doi.org/10.1007/978-3-662-11597-8_29

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-662-11599-2

  • Online ISBN: 978-3-662-11597-8

  • eBook Packages: Springer Book Archive

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