|
PRINT ON DEMAND This is a print on demand book. For more information on what this means, please click here.
|
- Product code: 17830
- ISBN: 0387401016,
ISBN13: 9780387401010,
569 pages, hardback
Published by Springer-Verlag New York Inc. on 2004
, 2004. Corr. 2nd Rate this book...
Rating: 0.0/5 (0 votes cast)
|
|
|
|
|
Description of Stochastic Calculus for Finance: v. 2 |
"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. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time. Master's level students and researchers in mathematical finance and financial engineering will find this book useful.
|
Contents of Stochastic Calculus for Finance: v. 2 |
1. General Probability Theory
1.1 Infinite Probability Spaces
1.2 Random Variables and Distributions
1.3 Expectations
1.4 Convergence of Integrals
1.5 Computation of Expectations
1.6 Change of Measure
1.7 Summary
1.8 Notes
1.9 Exercises
2. Information and Conditioning
2.1 Information and Sigma-Algebras
2.2 Independence
2.3 General Conditional Expectations
2.4 Summary
2.5 Notes
2.6 Exercises
3. Brownian Motion
3.1 Introduction
3.2 Scaled Random Walks
3.3 Brownian Motion
3.4 Quadratic Variation
3.5 Markov Property
3.6 First Passage Time Distribution
3.7 Reflection Principle
3.8 Summary
3.9 Notes
3.10 Exercises
4. Stochastic Calculus
4.1 Introduction
4.2 Ito's Integral for Simple Integrands
4.3 Ito's Integral for General Integrands
4.4 Ito-Doeblin Formula
4.5 Black-Scholes-Merton Equation
4.6 Multivariable Stochastic Calculus
4.7 Brownian Bridge
4.8 Summary
4.9 Notes
4.10 Exercises
5. Risk-Neutral Pricing
5.1 Introduction
5.2 Risk-Neutral Measures
5.3 Martingale Representation Theorem
5.4 Fundamental Theorems of Asset Pricing
5.5 Dividend-Paying Stocks
5.6 Forwards and Futures
5.7 Summary
5.8 Notes
5.9 Exercises
6. Connections with Partial Differential Equations
6.1 Introduction
6.2 Stochastic Differential Equations
6.3 The Markov Property
6.4 Partial Differential Equations
6.5 Interest Rate Models
6.6 Multidimensional Feynman-Kac Theorems
6.7 Summary
6.8 Notes
6.9 Exercises
7. Exotic Options
7.1 Introduction
7.2 Maximum of Brownian Motion with Drift
7.3 Knock-Out Barrier Options
7.4 Lookback Options
7.5 Asian Options
7.6 Summary
7.7 Notes
7.8 Exercises
8. American Derivative Securities
8.1 Introduction
8.2 Stopping Times
8.3 Perpetual American Put
8.4 Finite-Expiration American Put
8.5 American Call
8.6 Summary
8.7 Notes
8.8 Exercises
9. Change of Numeraire
9.1 Introduction
9.2 Numeraire
9.3 Foreign and Domestic Risk-Neutral Measures
9.4 Forward Measures
9.5 Summary
9.6 Notes
9.7 Exercises
10. Term Structure Models
10.1 Introduction
10.2 Affine-Yield Models
10.3 Heath-Jarrow-Morton Model
10.4 Forward LIBOR Model
10.5 Summary
10.6 Notes
10.7 Exercises
11. Introduction to Jump Processes
11.1 Introduction
11.2 Poisson Process
11.3 Compound Poisson Process
11.4 Jump Processes and their Integrals
11.5 Stochastic Calculus for Jump Processes
11.6 Change of Measure
11.7 Pricing a European Call in a Jump Model
11.8 Summary
11.9 Notes
11.10 Exercises
A Advanced Topics in Probability Theory
A.1 Countable Additivity
A.2 Generating Sigma-Algebras
A.3 A Random Variable with Neither a Density nor a Probability Mass Function
B Existence of Conditional Expectations
C Completion of Proof of Second Fundamental Theorem of Asset Pricing
References
|
About Steven E. Shreve |
Steve E. Shreve teaches in the Department of Mathematical Sciences, Carnegie Mellon University.
|
Buyers of Stochastic Calculus for Finance: v. 2 also bought
Other books by Steven E. Shreve
Bulk buying
| If you need bulk copies of Stochastic Calculus for Finance: v. 2, or are interested in opening a corporate account, please contact us. |
|
Shopping basket