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

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

Penned By Steven E. Shreve
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Stochastic Calculus Models for Finance II: Continuous Time Models (Springer Finance)

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

Penned By Steven E. Shreve
4.85 71,694 Ratings
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Editor's Note:
Shastic 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 shastic 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 shastic 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.

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Released April 25, 2004
Identifier (ISBN) 232559
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Steven E. Shreve
The Mind Behind the Work
Steven E. Shreve

Steven E. Shreve is the author of several novels. Originally from the East Coast, they now live in the Midwest with family. In addition to writing, Steven E. Shreve enjoys gardening, cooking, and reading way past bedtime. Their work often explores the complexities of everyday life and human relationships.

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"Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
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"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
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"I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers."
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