Stochastic Calculus for Finance I
The Binomial Asset Pricing Model
Authors: Shreve, Steven
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- About this Textbook
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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.
- About the authors
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- Reviews
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- Table of contents (6 chapters)
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The Binomial No-Arbitrage Pricing Model
Pages 1-23
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Probability Theory on Coin Toss Space
Pages 25-60
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State Prices
Pages 61-87
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American Derivative Securities
Pages 89-117
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Random Walk
Pages 119-142
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Table of contents (6 chapters)
- Download Preface 1 PDF (50.9 KB)
- Download Preface 2 PDF (59.4 KB)
- Download Sample pages 1 PDF (383.5 KB)
- Download Sample pages 2 PDF (324.3 KB)
- Download Table of contents PDF (72.1 KB)
- Download Table of contents PDF (71.7 KB)
- Instructor's Solution Manual
- Steven Shreve website
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Stochastic Calculus for Finance I
- Book Subtitle
- The Binomial Asset Pricing Model
- Authors
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- Steven Shreve
- Series Title
- Springer Finance Textbooks
- Copyright
- 2004
- Publisher
- Springer-Verlag New York
- Copyright Holder
- Springer Science+Business Media New York
- eBook ISBN
- 978-0-387-22527-2
- DOI
- 10.1007/978-0-387-22527-2
- Hardcover ISBN
- 978-0-387-40100-3
- Softcover ISBN
- 978-0-387-24968-1
- Edition Number
- 1
- Number of Pages
- XV, 187
- Topics
