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1、LectureNotesinEconomicsandMathematicalSystems579FoundingEditors:M.BeckmannH.P.KünziManagingEditors:Prof.Dr.G.FandelFachbereichWirtschaftswissenschaftenFernuniversitätHagenFeithstr.140/AVZII,58084Hagen,GermanyProf.Dr.W.TrockelInstitutfürMathematischeWirtschaftsforschung(IMW)UniversitätBiel
2、efeldUniversitätsstr.25,33615Bielefeld,GermanyEditorialBoard:A.Basile,A.Drexl,H.Dawid,K.Inderfurth,W.Kürsten,U.SchittkoDieterSondermannIntroductiontoStochasticCalculusforFinanceANewDidacticApproachWith6Figures123Prof.Dr.DieterSondermannDepartmentofEconomicsUniversityofBonnAdenauerAllee245
3、3113Bonn,GermanyE-mail:sondermann@uni-bonn.deISBN-103-540-34836-0SpringerBerlinHeidelbergNewYorkISBN-13978-3-540-34836-8SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinti
4、ng,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSp
5、ringer-Verlag.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringeronline.com©Springer-VerlagBerlinHeidelberg2006PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispubli-cationdoesnotimply,eveni
6、ntheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Typesetting:CamerareadybyauthorCover:ErichKirchner,HeidelbergProduction:LE-TEX,Jelonek,Schmidt&VöcklerGbR,LeipzigSPIN11769675Printedonacid-freepaper–42/3100–543210
7、ToFreddy,HansandMarek,whopatientlyhelpedmetoadeeperunderstandingofstochasticcalculus.PrefaceTherearebynownumerousexcellentbooksavailableonstochasticcal-culuswithspecificapplicationstofinance,suchasDuffie(2001),Elliott-Kopp(1999),Karatzas-Shreve(1998),Lamberton-Lapeyre(1
