Stochastic Calculus for Finance I: The Binomial Asset Pricing Model Paperback - 2005
by Steven Shreve
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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 stchastic 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 secondvolume.
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.
Details
- Title Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
- Author Steven Shreve
- Binding Paperback
- Edition INTERNATIONAL ED
- Pages 187
- Volumes 1
- Language ENG
- Publisher Springer, China
- Date 2005-06-28
- Illustrated Yes
- Features Illustrated
- ISBN 9780387249681 / 0387249680
- Weight 0.66 lbs (0.30 kg)
- Dimensions 9.14 x 6.24 x 0.39 in (23.22 x 15.85 x 0.99 cm)
- Dewey Decimal Code 515
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