Stochastic Calculus for Finance I

The Binomial Asset Pricing Model


Stochastic 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 stochastic 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. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume.

Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance.

Advanced undergraduates and Masters level students in mathematical finance and financial engineering will find this book useful.

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.

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Einband gebundene Ausgabe
Seitenzahl 187
Erscheinungsdatum 21.04.2004
Sprache Englisch
ISBN 978-0-387-40100-3
Verlag Springer New York
Maße (L/B/H) 241/163/20 mm
Gewicht 449
Auflage 2004
Buch (gebundene Ausgabe, Englisch)
43,99
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Stochastic Calculus for Finance I - Steven Shreve

Stochastic Calculus for Finance I

von Steven Shreve

Buch (gebundene Ausgabe, Englisch)
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Stochastic Calculus for Finance II - Steven Shreve

Stochastic Calculus for Finance II

von Steven Shreve

Buch (gebundene Ausgabe)
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