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Stochastic Calculus for Finance II: Continuous-Time Models
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Stochastic Calculus for Finance II: Continuous-Time Models Paperback - 2010

by Steven Shreve


From the publisher

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.

From the rear 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.

Details

  • Title Stochastic Calculus for Finance II: Continuous-Time Models
  • Author Steven Shreve
  • Binding Paperback
  • Edition International Ed
  • Pages 550
  • Volumes 1
  • Language ENG
  • Publisher Springer
  • Date 2010-12-01
  • ISBN 9781441923110 / 144192311X
  • Weight 1.74 lbs (0.79 kg)
  • Dimensions 9.21 x 6.14 x 1.16 in (23.39 x 15.60 x 2.95 cm)
  • Dewey Decimal Code 332.015

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.

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

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Stochastic Calculus for Finance Ii: Continuous-Time Models
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Stochastic Calculus for Finance Ii: Continuous-Time Models

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Springer-Verlag, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance Ii: Continuous-Time Models
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Stochastic Calculus for Finance Ii: Continuous-Time Models

by Shreve, S. E.

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Paperback
ISBN 10 / ISBN 13
9781441923110 / 144192311x
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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance Ii: Continuous-Time Models
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Stochastic Calculus for Finance Ii: Continuous-Time Models

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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance II: Continuous-Time Models
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Stochastic Calculus for Finance II: Continuous-Time Models

by Shreve, S. E.

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Paperback
ISBN 10 / ISBN 13
9781441923110 / 144192311x
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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings With owner's name inside cover. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,1000grams, ISBN:9781441923110
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Stochastic Calculus for Finance II: Continuous-Time Models
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Stochastic Calculus for Finance II: Continuous-Time Models

by Shreve, S. E.

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  • Paperback
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Paperback
ISBN 10 / ISBN 13
9781441923110 / 144192311x
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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings With owner's name inside cover. In fair condition, suitable as a study copy. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance Ii: Continuous-Time Models (Springer Finance)
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Stochastic Calculus for Finance Ii: Continuous-Time Models (Springer Finance)

by Shreve, S. E.

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ISBN 10 / ISBN 13
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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance Ii: Continuous-Time Models (Springer Finance)
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Stochastic Calculus for Finance Ii: Continuous-Time Models (Springer Finance)

by Shreve, S. E.

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ISBN 10 / ISBN 13
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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance Ii: Continuous-Time Models (Springer Finance)
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Stochastic Calculus for Finance Ii: Continuous-Time Models (Springer Finance)

by Shreve, S. E.

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ISBN 10 / ISBN 13
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Springer, 2010. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,950grams, ISBN:9781441923110
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

by Shreve, Steven

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