Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

By:

Steven Shreve

Format:

Hardback

Series:

Springer Finance Textbooks

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Description

This book evolved from the first ten years of the Carnegie Mellon professional Masters 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. 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. Classroom-tested exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance. Instructor's manual available.

Author Biography:

Release date NZ

April 21st, 2004

Author

Steven Shreve

Audiences

General (US: Trade)
Professional & Vocational
Tertiary Education (US: College)

Illustrations

XV, 187 p.

Pages

187

Series

Springer Finance Textbooks

Dimensions

156x234x12

ISBN-13

9780387401003

Product ID

2048598

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