Stochastic Calculus for Finance II: Continuous-Time Models - Rilegato

Shreve, Steven E.

Rilegato

ISBN 10: 0387401016 ISBN 13: 9780387401010

Casa editrice: Springer Nature, 2004

Riassunto

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Su questo libro

Informazioni sull?autore

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.

Dalla quarta di copertina

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.

Dettagli dell?edizione

• Editore: Springer Nature
• Data di pubblicazione: 2004
• Lingua: Inglese
• ISBN 10: 0387401016
• ISBN 13: 9780387401010
• Rilegatura: Copertina rigida
• Numero di pagine: 550
• Contatto del produttore: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com