Springer Finance Textbooks

Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

Authors: Shreve, Steven

Buy this book

Hardcover $54.95
price for USA
  • ISBN 978-0-387-40100-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $54.95
price for USA
  • ISBN 978-0-387-24968-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

Table of contents (6 chapters)

  • The Binomial No-Arbitrage Pricing Model

    Shreve, Steven E.

    Pages 1-23

  • Probability Theory on Coin Toss Space

    Shreve, Steven E.

    Pages 25-60

  • State Prices

    Shreve, Steven E.

    Pages 61-87

  • American Derivative Securities

    Shreve, Steven E.

    Pages 89-117

  • Random Walk

    Shreve, Steven E.

    Pages 119-142

Buy this book

Hardcover $54.95
price for USA
  • ISBN 978-0-387-40100-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $54.95
price for USA
  • ISBN 978-0-387-24968-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Calculus for Finance I
Book Subtitle
The Binomial Asset Pricing Model
Authors
Series Title
Springer Finance Textbooks
Copyright
2004
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
Hardcover ISBN
978-0-387-40100-3
Softcover ISBN
978-0-387-24968-1
Edition Number
1
Number of Pages
XV, 187
Topics