Stochastic Calculus for Finance I
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Product Description
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 Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
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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.
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The binomial asset-pricing model provides a powerful tool to understand arbitrage pricing theory and probability. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
The binomial asset-pricing model provides a powerful tool to understand arbitrage pricing theory and probability. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Format:Paperback|Amazon Verified Purchase
I bought this book because it was recommended by my lecturer, I like it in context of finance as it has loads of quantitative financial examples but if you want to go in depth of topics such as Brownian motion etc then the book on Brownian motion and stochastic calculus by the same author will be an excellent choice.
Format:Paperback
A nice introduction into derivative pricing for someone with no experience in finance (like myself). A good introduction/foundation before moving onto continuous models.
0 of 1 people found the following review helpful
Format:Paperback
nice and structured content, suitable depth (for me with an engineering background,no financial experience before) and it's a very good reference book as well.
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