Stochastic Calculus for Finance I
The Binomial Asset Pricing Model
(Sprache: Englisch)
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...
Jetzt vorbestellen
versandkostenfrei
Buch (Gebunden)
64.19 €
32 DeutschlandCard Punkte
sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
- Ratenzahlung möglich
Produktdetails
Produktinformationen zu „Stochastic Calculus for Finance I “
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 author does not assume familiarity with advanced mathematical concepts from measure-theoretic probability, but rather develops the necessary tools from this subject informally within the text. Many classroom-tested examples, exercises, and intuitive arguments are presented throughout the book.
Klappentext zu „Stochastic Calculus for Finance I “
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. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume.
Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance.
Advanced undergraduates and Masters level students 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.
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.
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.
Inhaltsverzeichnis zu „Stochastic Calculus for Finance I “
- The Binomial No-Arbitrage Pricing Model- Probability Theory on Coin-Toss Space
- State Prices
- American Derivative Securities
- Random Walk
- Interest rate dependent assets.
Autoren-Porträt von Steven Shreve
Bibliographische Angaben
- Autor: Steven Shreve
- 2004, 2004, XV, 187 Seiten, 33 Abbildungen, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer, Berlin
- ISBN-10: 0387401008
- ISBN-13: 9780387401003
- Erscheinungsdatum: 08.06.2004
Sprache:
Englisch
Rezension zu „Stochastic Calculus for Finance I “
From the reviews of the first edition: Steven Shrevea (TM)s comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Mastera (TM)s level books.... a detailed and authoritative reference for "quantsa (formerly known as "rocket scientistsa ). The books are derived from lecture notes that have been available on the Web for years and that have developed a huge cult following among students, instructors, and practitioners. The key ideaspresented in these works involve the mathematical theory of securities pricing based upon the ideas of classical finance. ...the beauty of mathematics is partly in the fact that it is self-contained and allows us to explore the logical implications of our hypotheses. The material of this volume of Shrevesa (TM)s text is 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 is accessible to a broad audience and has been developed after years of teaching the subject. It should serve as an excellent introduction for anyone studyin the mathematics of the classical theory of finance. -- SIAM, 2005 "This is the first of the two-volume series evolving from the authora (TM)s mathematics courses in M.Sc. Computational Finance program at Carnegie Mellon University (USA). The content of this book is organized such as to give the reader precise statements of results, plausibility arguments, mathematical proofs and, more importantly, the intuitive explanations of the financial andeconomic phenomena. Each chapter concludes with summary of the discussed matter, bibliographic notes, and a set of really useful exercises." (Neculai Curteanu, Zentralblatt MATH, Vol. 1068, 2005)
Kommentar zu "Stochastic Calculus for Finance I"
0 Gebrauchte Artikel zu „Stochastic Calculus for Finance I“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Stochastic Calculus for Finance I".
Kommentar verfassen