Stochastic Calculus for Finance II

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.Master's level studentsand researchers in mathematical finance and financial engineering will find this book useful.

Product details

• Authors: Steven Shreve, Steven E. Shreve
• Publisher: Springer International Publishing AG
• Languages: English
• Product format: Paperback / Softback
• Released: 01.12.2010
• EAN: 9781441923110
• ISBN: 978-1-4419-2311-0
• Dimensions: 156 mm x 235 mm x 28 mm
• Series: Springer Finance; Springer Finance / Springer Finance Textbooks; Springer Finance Textbooks; Springer Finance; Springer Finance Textbooks
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business; B, Finance, Finance, general, Public Economics, Mathematics and Statistics, Applications of Mathematics, Probability Theory and Stochastic Processes, Probability & statistics, Probabilities, Stochastics, Probability Theory, Engineering mathematics, Applied mathematics, Economics, Mathematical, Quantitative Finance, Public finance, Public finance & taxation, CON_D035;adopted-textbook;adopted-textbook NY