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Stochastic Calculus for Finance I

Librairie Eyrolles - Paris 5e
Disponible en magasin

Stochastic Calculus for Finance I

Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

- Collection Springer Finance

188 pages, parution le 20/01/2004

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.

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. Classroom-tested exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance. Instructor's manual available.

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

  • The Binomial No-Arbitrage Pricing Model
  • Probability Theory on Coin Toss Space
  • State Prices
  • American Derivative Securities
  • Random Walk
  • Interest-Rate-Dependent Assets
  • Proof of Fundamental Properties of Conditional Expectations
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Caractéristiques techniques du livre "Stochastic Calculus for Finance I"

  PAPIER
Éditeur(s) Springer
Auteur(s) Steven E. Shreve
Collection Springer Finance
Parution 20/01/2004
Nb. de pages 188
Format 16 x 24
Couverture Relié
Poids 445g
Intérieur Noir et Blanc
EAN13 9780387401003
ISBN13 978-0-387-40100-3

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