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Stochastic Calculus for Finance II: Continuous-Tim
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Item specifics
- Condition
- Brand New: A new, unread, unused book in perfect condition with no missing or damaged pages. See all condition definitionsopens in a new window or tab
- subject_code
- PBW
- target_audience
- General/trade
- is_adult_product
- false
- edition_number
- 1
- binding
- paperback
- edition
- Softcover reprint of the original 1st ed. 2004
- MPN
- XIX, 550 p.
- batteries_required
- false
- manufacturer
- Springer
- Brand
- Springer
- series_title
- Springer Finance Textbooks
- number_of_items
- 1
- pages
- 572
- ghs
- [object Object]
- genre
- Applied mathematics
- part_number
- XIX, 550 p.
- publication_date
- 2010-12-01T00:00:01Z
- unspsc_code
- 55101500
- batteries_included
- false
- ISBN
- 9781441923110
About this product
Product Identifiers
Publisher
Springer New York
ISBN-10
144192311X
ISBN-13
9781441923110
eBay Product ID (ePID)
3038376031
Product Key Features
Number of Pages
Xix, 550 Pages
Language
English
Publication Name
Stochastic Calculus for Finance II : Continuous-Time Models
Subject
Public Finance, Probability & Statistics / Stochastic Processes, Finance / Financial Engineering, Probability & Statistics / General, Finance / General, Applied
Publication Year
2010
Type
Textbook
Subject Area
Mathematics, Business & Economics
Series
Springer Finance Ser.
Format
Trade Paperback
Dimensions
Item Weight
61.7 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Intended Audience
Scholarly & Professional
Dewey Edition
22
Reviews
From the reviews of the first edition: "Steven Shreve's comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master's level books.... a detailed and authoritative reference for "quants" (formerly known as "rocket scientists"). 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 ideas presented 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 Shreve'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 studying the mathematics of the classical theory of finance." (SIAM, 2005) "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 refine through classroom experience with this material are provided throughout the book." (Finanz Betrieb, 7:5, 2005) "The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus ... . The first volume contains the binomial asset pricing model. ... The second volume covers continuous-time models ... . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts ... ." (www.mathfinance.de, 2004) "This is the latter of the two-volume series evolving from the author'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 and economic 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), From the reviews of the first edition:"Steven Shreve's comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master's level books.... a detailed and authoritative reference for "quants" (formerly known as "rocket scientists"). 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 ideas presented 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 Shreve'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 studying the mathematics of the classical theory of finance." (SIAM, 2005)"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 refine through classroom experience with this material are provided throughout the book." (Finanz Betrieb, 7:5, 2005)"The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus … . The first volume contains the binomial asset pricing model. … The second volume covers continuous-time models … . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts … ." (www.mathfinance.de, 2004)"This is the latter of the two-volume series evolving from the author'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 and economic 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), From the reviews of the first edition: "Steven Shreve's comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master's level books.... a detailed and authoritative reference for "quants (formerly known as "rocket scientists). 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 ideas presented 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 Shreve'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 studying the mathematics of the classical theory of finance." (SIAM, 2005) "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 refine through classroom experience with this material are provided throughout the book." (Finanz Betrieb, 7:5, 2005) "The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus … . The first volume contains the binomial asset pricing model. … The second volume covers continuous-time models … . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts … ." (www.mathfinance.de, 2004) "This is the latter of the two-volume series evolving from the author'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 and economic 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), From the reviews of the first edition:"Steven Shreve's comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master's level books.... a detailed and authoritative reference for "quants (formerly known as "rocket scientists). 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 ideas presented 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 Shreve'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 studying the mathematics of the classical theory of finance." (SIAM, 2005)"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 refine through classroom experience with this material are provided throughout the book." (Finanz Betrieb, 7:5, 2005)"The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus … . The first volume contains the binomial asset pricing model. … The second volume covers continuous-time models … . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts … ." (www.mathfinance.de, 2004)"This is the latter of the two-volume series evolving from the author'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 and economic 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), From the reviews of the first edition: "Steven Shreve'e(tm)s comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master'e(tm)s level books.... a detailed and authoritative reference for "quants'e� (formerly known as "rocket scientists'e�). 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 ideas presented 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 Shreve'e(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 studying the mathematics of the classical theory of finance." (SIAM, 2005) "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 refine through classroom experience with this material are provided throughout the book." (Finanz Betrieb, 7:5, 2005) "The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus 'e¦ . The first volume contains the binomial asset pricing model. 'e¦ The second volume covers continuous-time models 'e¦ . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts 'e¦ ." (www.mathfinance.de, 2004) "This is the latter of the two-volume series evolving from the author'e(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 and economic 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), From the reviews of the first edition:"Steven Shreve "s comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master "s level books.... a detailed and authoritative reference for "quants (formerly known as "rocket scientists ). 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 ideas presented 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 Shreve "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 studying the mathematics of the classical theory of finance." (SIAM, 2005)"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 refine through classroom experience with this material are provided throughout the book." (Finanz Betrieb, 7:5, 2005)"The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus . The first volume contains the binomial asset pricing model. The second volume covers continuous-time models . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts ." (www.mathfinance.de, 2004)"This is the latter of the two-volume series evolving from the author "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 and economic 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)
Number of Volumes
1 vol.
Illustrated
Yes
Dewey Decimal
332.0151922
Table Of Content
1 General Probability Theory.- 2 Information and Conditioning.- 3 Brownian Motion.- 4 Stochastic Calculus.- 5 Risk-Neutral Pricing.- 6 Connections with Partial Differential Equations.- 7 Exotic Options.- 8 American Derivative Securities.- 9 Change of Numéraire.- 10 Term-Structure Models.- 11 Introduction to Jump Processes.- A Advanced Topics in Probability Theory.- A.1 Countable Additivity.- A.3 Random Variable with Neither Density nor Probability Mass Function.- B Existence of Conditional Expectations.- C Completion of the Proof of the Second Fundamental Theorem of Asset Pricing.- References.
Synopsis
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., 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 students and researchers in mathematical finance and financial engineering will find this book useful., This text has grown out of a two-semester course sequence in the Carnegie Mellon Master's program in Computational Finance. It contains numerous examples, exercises, and references. It assumes the reader is familiar with differential and integral calculus and basic concepts from calculus-based probability. It does not assume familiarity with measure-theoretic probability, but rather informally develops the necessary tools from this subject within the text.
LC Classification Number
H61.25
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- y***p (140)- Feedback left by buyer.Past monthVerified purchasegreat seller!! recommended!