ENGLISH

Stochastic Calculus for Finance II: Continuous-Time Models

By Steven E. Shreve

Book information

Publisher
Springer
Year
2008
ISBN
0387401016, 9780387401010
LCC
HG176.5 .F65 2004
Language
english
Format
PDF
Filesize
62 MB (65190489 bytes)
Series
Springer Finance
Edition
1st
Pages
550\570
Time added
2010-02-18 13:16:04

Description

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.

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