Stochastic Calculus for Finance II

Continuous-Time Models

Steven E. Shreve - Collection Springer Finance

550 pages, parution le 20/01/2005

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Résumé

This book evolved from the first ten years of the Carnegie Mellon professional Master's program in Computational Finance. The contents of the book have 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 refined through classroom experience with this material, are provided throughout the book. Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus, martingales, risk-neutral pricing, exotic options, and term structure models, all in continuous time.

Written for: Graduate students and researchers

L'auteur - Steven E. Shreve

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.

Sommaire

General Probability Theory
Information and Conditioning
Brownian Motion
Stochastic Calculus
Risk-Neutral Pricing
Connections with Partial Di.erential Equations
Exotic Options
American Derivative Securities
Change of Numeraire
Term Structure Models
Introduction to Jump Processes

A Advanced Topics in Probability Theory
B Existence of Conditional Expectations
C Completion of Proof of Second Fundamental Theorem of Asset Pricing

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Steven E. Shreve
Collection	Springer Finance
Parution	20/01/2005
Nb. de pages	550
Format	16 x 24
Couverture	Relié
Poids	930g
Intérieur	Noir et Blanc
EAN13	9780387401010
ISBN13	978-0-387-40101-0