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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)
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"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 should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
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1 of 1 people found the following review helpful
Format:Hardcover
This book provides a superb introduction to quantitative finance, and was a pleasure to read. It is beautifully written, and covers the potentially confusing theory of derivative pricing in an intuitive - yet rigorous - way. If you need to learn stochastic calculus, I can wholeheartedly recommend this book.
1 of 1 people found the following review helpful
Format:Hardcover
One my friend gave me the book some years ago. Since that, I recommend it as the first book for those who want to deeply understand results in continuous time Finance, but perhaps have no deep knowledge in Probability and Random Processes.
The book gives a short, but sufficient introduction to continuous time stochastic calculus (basics of Probability, sigma fields (needed to model information flow), change of measure, Brownian motion, Ito integral and the famous formula, stochastic differential equations (SDE)) and passes to the results in Finance. It gives both main approaches to pricing: as expectation with respect to a risk-neutral measure and as a solution of an SDE. Moreover, the author considers not only European contingent claims, but also American and exotic options. He gives a very good introduction to the interest rate models. Models with jumps are also included.
It is very comfortable to read the book due to the clarity of the exposition and numerous examples. The exercises at the end of each topic in the most part are computational, what is very good for those who intend to implement the theory, but perhaps is not very good for mathematicians (there is a small number of problems you can solve just in mind during your way to home). I read the book with pleasure and take many things from it for the courses I conduct at the Moscow State University. Many thanks to the author for the book!
The book gives a short, but sufficient introduction to continuous time stochastic calculus (basics of Probability, sigma fields (needed to model information flow), change of measure, Brownian motion, Ito integral and the famous formula, stochastic differential equations (SDE)) and passes to the results in Finance. It gives both main approaches to pricing: as expectation with respect to a risk-neutral measure and as a solution of an SDE. Moreover, the author considers not only European contingent claims, but also American and exotic options. He gives a very good introduction to the interest rate models. Models with jumps are also included.
It is very comfortable to read the book due to the clarity of the exposition and numerous examples. The exercises at the end of each topic in the most part are computational, what is very good for those who intend to implement the theory, but perhaps is not very good for mathematicians (there is a small number of problems you can solve just in mind during your way to home). I read the book with pleasure and take many things from it for the courses I conduct at the Moscow State University. Many thanks to the author for the book!
Format:Hardcover|Amazon Verified Purchase
This book is a great masterpiece on stochastic calculus (financial) and it covers almost every topic of this extremely delicious field.
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