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Stochastic Calculus Models for Finance: Continuous Time Models (Springer Finance)

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Synopses & Reviews

Publisher Comments:

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. Masters level students and researchers 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.

Synopsis:

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Synopsis:

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 statements of results, plausibility arguments, and even some proofs. But more importantly, intuitive explanations, developed and refined through classroom experience with this material, are provided throughout the book. Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus, martingales, risk-neutral pricing, exotic options, and term structure models, all in continuous time.

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

General Probability Theory.- Information and Conditioning.- Brownian Motion.- Stochastic Calculus.- Risk Neutral Pricing.- Connections with Partial Differential Equations.- Exotic Options.- Early Exercise.- Change of Numeraire.- Term Structure Models.- Introduction to Jump Processes.

Product Details

ISBN:
9780387401010
Author:
Shreve, Steven E.
Publisher:
Springer
Author:
Cram101 Textbook Reviews
Author:
Shreve, Steven
Location:
New York, NY
Subject:
Finance
Subject:
Calculus
Subject:
Accounting - General
Subject:
Quantitative Finance
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Probability Theory and Stochastic Processes
Subject:
Public Finance
Subject:
Economics
Subject:
Finance /Banking
Subject:
Public Finance & Economics
Subject:
Finance/Investment/Banking <P>This text has grown out of a two-semester course sequence in the Carnegie Mellon Master s program in Computational Finance. It contains numerous examples, exercises, and references. It assumes the reader is familiar with diff
Subject:
Mathematics-Calculus
Subject:
Education-General
Subject:
Game Theory
Subject:
Finance/Investment/Banking
Subject:
Business-Accounting and Finance
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Copyright:
Edition Number:
1
Edition Description:
2004. Corr. 2nd
Series:
Springer Finance / Springer Finance Textbooks
Series Volume:
Continuous-Time Mode
Publication Date:
June 2004
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
569
Dimensions:
235 x 155 mm 2160 gr

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Related Subjects

Business » Accounting and Finance
Health and Self-Help » Health and Medicine » Medical Specialties
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Calculus » General
Science and Mathematics » Mathematics » Econometrics
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Stochastic Calculus Models for Finance: Continuous Time Models (Springer Finance) New Hardcover
0 stars - 0 reviews
$82.75 In Stock
Product details 569 pages Springer - English 9780387401010 Reviews:
"Synopsis" by , "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
"Synopsis" by , 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 statements of results, plausibility arguments, and even some proofs. But more importantly, intuitive explanations, developed and refined through classroom experience with this material, are provided throughout the book. Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus, martingales, risk-neutral pricing, exotic options, and term structure models, all in continuous time.
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