Stochastic Calculus for Finance II: Continuous-Time Models Hardcover - 2004
by Steven Shreve
This is the second volume in a two-volume sequence on Stochastic calculus models in finance. This second volume, which does not require the first volume as a prerequisite, covers infinite state models and continuous time stochastic calculus. The book is suitable for beginning masters-level students in mathematical finance and financial engineering.
From the publisher
From the rear cover
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.
Details
- Title Stochastic Calculus for Finance II: Continuous-Time Models
- Author Steven Shreve
- Binding Hardcover
- Edition 1st
- Pages 550
- Volumes 1
- Language ENG
- Publisher Springer, India
- Date 2004-06-03
- Illustrated Yes
- Features Bibliography, Illustrated, Index
- ISBN 9780387401010 / 0387401016
- Weight 2.1 lbs (0.95 kg)
- Dimensions 9.3 x 6.4 x 1.5 in (23.62 x 16.26 x 3.81 cm)
- Library of Congress Catalog Number 2003063342
- Dewey Decimal Code 332.015
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