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1、LectureNotesinEconomicsandMathematicalSystems579FoundingEditors:M.BeckmannH.P.KünziManagingEditors:Prof.Dr.G.FandelFachbereichWirtschaftswissenschaftenFernuniversitätHagenFeithstr.140/AVZII,58084Hagen,GermanyProf.Dr.W.TrockelInstitutfürMathematischeWirtschaftsfor
2、schung(IMW)UniversitätBielefeldUniversitätsstr.25,33615Bielefeld,GermanyEditorialBoard:A.Basile,A.Drexl,H.Dawid,K.Inderfurth,W.Kürsten,U.SchittkoDieterSondermannIntroductiontoStochasticCalculusforFinanceANewDidacticApproachWith6Figures123Prof.Dr.DieterSondermannD
3、epartmentofEconomicsUniversityofBonnAdenauerAllee2453113Bonn,GermanyE-mail:sondermann@uni-bonn.deISBN-103-540-34836-0SpringerBerlinHeidelbergNewYorkISBN-13978-3-540-34836-8SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthe
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5、theGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer-Verlag.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringeronline.com©Springer-VerlagBerli
6、nHeidelberg2006PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispubli-cationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Typeset
7、ting:CamerareadybyauthorCover:ErichKirchner,HeidelbergProduction:LE-TEX,Jelonek,Schmidt&VöcklerGbR,LeipzigSPIN11769675Printedonacid-freepaper–42/3100–543210ToFreddy,HansandMarek,whopatientlyhelpedmetoadeeperunderstandingofstochasticcalculus.PrefaceTherearebynownu
8、merousexcellentbooksavailableonstochasticcal-culuswithspecificapplicationstofinance,suchasDuffie(2001),Elliott-Kopp(1999),Karatzas-Shreve(1998),Lamberton-Lapeyre(1
