Stochastic Calculus for Finance II: Continuous-Time Models
Shastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for shastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.

This book is being published in two volumes. This second volume develops shastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

Master's level studentsand researchers in mathematical finance and financial engineering will find this book useful.

1101634957
Stochastic Calculus for Finance II: Continuous-Time Models
Shastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for shastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.

This book is being published in two volumes. This second volume develops shastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

Master's level studentsand researchers in mathematical finance and financial engineering will find this book useful.

64.99 In Stock
Stochastic Calculus for Finance II: Continuous-Time Models

Stochastic Calculus for Finance II: Continuous-Time Models

by Steven Shreve
Stochastic Calculus for Finance II: Continuous-Time Models

Stochastic Calculus for Finance II: Continuous-Time Models

by Steven Shreve

Hardcover(2004)

$64.99 
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Overview

Shastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for shastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.

This book is being published in two volumes. This second volume develops shastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

Master's level studentsand researchers in mathematical finance and financial engineering will find this book useful.


Product Details

ISBN-13: 9780387401010
Publisher: Springer New York
Publication date: 06/03/2004
Series: Springer Finance
Edition description: 2004
Pages: 550
Product dimensions: 6.10(w) x 9.25(h) x 0.24(d)

About the Author

Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education.

Table of Contents

1 General Probability Theory.- 2 Information and Conditioning.- 3 Brownian Motion.- 4 Shastic Calculus.- 5 Risk-Neutral Pricing.- 6 Connections with Partial Differential Equations.- 7 Exotic Options.- 8 American Derivative Securities.- 9 Change of Numéraire.- 10 Term-Structure Models.- 11 Introduction to Jump Processes.- A Advanced Topics in Probability Theory.- A.1 Countable Additivity.- A.3 Random Variable with Neither Density nor Probability Mass Function.- B Existence of Conditional Expectations.- C Completion of the Proof of the Second Fundamental Theorem of Asset Pricing.- References.
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