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

Buch 14 von 53: Springer Finance

Shreve, Steven

 
9781441923110: Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance Textbooks)
Softcover
ISBN 10: 144192311X ISBN 13: 9781441923110
Verlag: Springer, 2010

Inhaltsangabe

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 differential and integral calculus and basic concepts from calculus-based probability. It does not assume familiarity with measure-theoretic probability, but rather informally develops the necessary tools from this subject within the text.

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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.

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
144192311X
ISBN 13 
9781441923110
Einband
Taschenbuch
Anzahl der Seiten
572
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