✦ LIBER ✦

Stochastic calculus for finance II: Continuous-time models

✍ Scribed by Steven E. Shreve

Book ID: 127426219
Publisher: Springer
Year: 2004
Tongue: English
Weight: 4 MB
Series: Springer Finance
Edition: 1st ed. 2004. Corr. 2nd printing
Category: Library
ISBN: 0387401016

No coin nor oath required. For personal study only.

✦ Synopsis

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. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

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

📜 SIMILAR VOLUMES

Continuous stochastic calculus with appl

Continuous stochastic calculus with applications to finance

✍ Michael Meyer 📂 Library 📅 2001 🏛 Chapman & Hall/CRC 🌐 English ⚖ 2 MB

The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of deriva

Continuous-Time Stochastic Calculus: A S

Continuous-Time Stochastic Calculus: A Survey of Applications in Finance and Accountancy

✍ OKUNEV, JOHN; TIPPETT, MARK 📂 Article 📅 1989 🏛 Oxford University Press 🌐 English ⚖ 634 KB

Stochastic Calculus for Finance 1

✍ Steven E. Shreve 📂 Library 📅 2004 🏛 Springer 🌐 English ⚖ 7 MB

This book evolved from the first ten years of the Carnegie Mellon professional Master's program in Computational Finance. The contents of the book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise s

Stochastic Calculus for Finance 2

✍ Steven E. Shreve 📂 Library 📅 2004 🏛 Springer 🌐 English ⚖ 6 MB

[Springer Finance] Contract Theory in Co

[Springer Finance] Contract Theory in Continuous-Time Models || Stochastic Maximum Principle

✍ Cvitanić, Jakša; Zhang, Jianfeng 📂 Article 📅 2013 🏛 Springer Berlin Heidelberg ⚖ 529 KB

Stochastic calculus for finance I: The b

Stochastic calculus for finance I: The binomial asset pricing model

✍ Steven E. Shreve 📂 Library 📅 2005 🏛 Springer 🌐 English ⚖ 2 MB

This is the first volume in a two volume sequence providing the foundational material on Stochastic calculus models in finance. This first volume is suitable for discrete-time finance. The only pre-requisite is standard calculus; may aspects such as martingales and change of measure are treated in d