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

Book 14 of 53: Springer Finance

Shreve, Steven

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

Synopsis

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.

"synopsis" may belong to another edition of this title.

About the Author

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.

From the Back 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.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2010
Language
English
ISBN 10 
144192311X
ISBN 13 
9781441923110
Binding
Paperback
Number of pages
569
Rating
  • 4.45 out of 5 stars
    164 ratings by Goodreads

Other Popular Editions of the Same Title

9780387401010: Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

Featured Edition

ISBN 10:  0387401016 ISBN 13:  9780387401010
Publisher: Springer, 2004
Hardcover