Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
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 stchastic 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.
What people are saying - Write a review
Review: Stochastic Calculus for Finance I: The Binomial Asset Pricing ModelUser Review - Joecolelife - Goodreads
Shreve's book is an excellent introduction to basic options pricing. He not only deals with plain vanilla options, but also shows how the binomial model can be used to to value exotic options. Each ... Read full review
The Binomial NoArbitrage Pricing Model
12 Multiperiod Binomial Model
13 Computational Considerations
Probability Theory on Coin Toss Space
22 Random Variables Distributions and Expectations
23 Conditional Expectations
45 American Call Options
52 First Passage Times
53 Reflection Principle
25 Markov Processes
32 RadonNikodym Derivative Process
33 Capital Asset Pricing Model
American Derivative Securities
42 NonPathDependent American Derivatives
43 Stopping Times
44 General American Derivatives
A Stochastic Control Framework for Real Options in Strategic Evaluation
Limited preview - 2003
Inside Volatility Arbitrage: The Secrets of Skewness
No preview available - 2006