Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) - Hardcover

Shreve, Steven

Hardcover

ISBN 10: 0387401016 ISBN 13: 9780387401010

Verlag: Springer, 2004

Inhaltsangabe

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 studentsand researchers in mathematical finance and financial engineering will find this book useful.

Über diesen Titel

Über die Autorin bzw. den Autor

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.

Von der hinteren Coverseite

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 zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2004
• Sprache: Englisch
• ISBN 10: 0387401016
• ISBN 13: 9780387401010
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 569
• Kontakt zum Hersteller: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Deutschland