Authors:
- Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S.
- Has been tested in the classroom and revised over a period of several years
- Includes supplementary material: sn.pub/extras
- Request lecturer material: sn.pub/lecturer-material
Part of the book series: Springer Finance (FINANCE)
Part of the book sub series: Springer Finance Textbooks (SFTEXT)
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Table of contents (6 chapters)
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Front Matter
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Back Matter
About this book
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. 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.
Authors and Affiliations
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Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, USA
Steven E. Shreve
Bibliographic Information
Book Title: Stochastic Calculus for Finance I
Book Subtitle: The Binomial Asset Pricing Model
Authors: Steven E. Shreve
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-0-387-22527-2
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 2004
Hardcover ISBN: 978-0-387-40100-3Published: 21 April 2004
Softcover ISBN: 978-0-387-24968-1Published: 28 June 2005
eBook ISBN: 978-0-387-22527-2Published: 01 November 2019
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XV, 187
Topics: Quantitative Finance, Applications of Mathematics, Finance, general, Probability Theory and Stochastic Processes