Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Google eBook)
This book evolved from the first ten years of the Carnegie Mellon professional Masterbs 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.
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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
Stochastic Calculus for Finance II: Continuous-Time Models, Volume 11
Steven E. Shreve
Limited preview - 2004
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
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Title : Stochastic calculus for finance / Steven E. Shreve. Publication Information : New York : Springer, c2005. Physical Description : 2 v. ...
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Course Descriptions : Tepper School of Business
Prerequisite: Stochastic Calculus for Finance II 46-945. Credit Derivatives 45-903 This course provides techniques for modeling credit risk. ...
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This topic is for discussion of exercises on the book Stochastic Calculus for Finance II : Continuous-Time Models by Steven E. Shreve only. ...
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Math 503 Spring 2006 Syllabus
Math 503, Stochastic Calculus for Finance, Spring 2006 ... Stochastic calculus for finance. I. The binomial asset pricing model, by Shreve, Springer 2004 ...
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Stochastic Calculus in Finance, MATH 6910
... room changed from what was originally in the lecture schedule); The text was Steven Shreve's Stochastic Calculus for Finance II: Continuous-Time Models ...
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Proposal for Computational Finance
Steven E. Shreve, “Stochastic Calculus for Finance I: The Binominal Asset Pricing Model,” Springer-Verlag, 2003. Steven E. Shreve, “Stochastic Calculus for ...
金融工程圣经：Stochastic calculus for finance II - Continuous ...
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