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Stochastic Calculus for Finance: Stochastic Calculus for Finance I - The Binomial Asset Pricing Model - hardcover
2004, ISBN: 9780387401003
[ED: Buch, gebundene Ausgabe], [PU: Springer, Berlin], KURZE BESCHREIBUNG/ANMERKUNGEN: This book evolved from the first ten years of the Carnegie Mellon professional Master s program in Computational Finance. The contents of the book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The author does not assume familiarity with advanced mathematical concepts from measure-theoretic probability, but rather develops the necessary tools from this subject informally within the text. Many classroom-tested examples, exercises, and intuitive arguments are presented throughout the book. AUSFÜHRLICHERE BESCHREIBUNG: 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 INHALT: 1. The Binomial No-Arbitrage Pricing Model 1.1. One-Period Binomial Model 1.2. Multiperiod Binomial Model 1.3. Computational Considerations 1.4. Summary 1.5. Notes 1.6. Exercises 2. Probability Theory on Coin Toss Space 2.1. Finite Probability Spaces 2.2. Random Variables, Distributions, and Expectations 2.3. Conditional Expectations 2.4. Martingales 2.5. Markov Processes 2.6. Summary 2.7. Notes 2.8. Exercises 3. State Prices 3.1. Change of Measure 3.2. Radon-Nikod'ym Derivative Process 3.3. Capital Asset Pricing Model 3.4. Summary 3.5. Notes 3.6. Exercises 4. American Derivative Securities 4.1. Introduction 4.2. Non-Path-Dependent American Derivatives 4.3. Stopping Times 4.4. General American Derivatives 4.5. American Call Options 4.6. Summary 4.7. Notes 4.8. Exercises 5. Random Walk 5.1. Introduction 5.2. First Passage Times 5.3. Reflection Principle 5.4. Perpetual American Put: An Example 5.5. Summary 5.6. Notes 5.7. Exercises 6. Interest-Rate-Dependent Assets 6.1. Introduction 6.2. Binomial Model for Interest Rates 6.3. Fixed-Income Derivatives 6.4. Forward Measures 6.5. Futures 6.6. Summary 6.7. Notes 6.8. Exercises Proof of Fundamental Properties of Conditional Expectations References Index, [SC: 0.00], Neuware, gewerbliches Angebot, 24 cm, [GW: 458g]
Booklooker.de |
2004, ISBN: 9780387401003
[ED: Buch, gebundene Ausgabe], [PU: Springer, Berlin], KURZE BESCHREIBUNG/ANMERKUNGEN: This book evolved from the first ten years of the Carnegie Mellon professional Master s program in Computational Finance. The contents of the book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The author does not assume familiarity with advanced mathematical concepts from measure-theoretic probability, but rather develops the necessary tools from this subject informally within the text. Many classroom-tested examples, exercises, and intuitive arguments are presented throughout the book. AUSFÜHRLICHERE BESCHREIBUNG: 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 yearsExercises conclude every chapter some of these extend the theory while others are drawn from practical problems in quantitative finance INHALT: 1. The Binomial No-Arbitrage Pricing Model1.1. One-Period Binomial Model1.2. Multiperiod Binomial Model1.3. Computational Considerations1.4. Summary1.5. Notes1.6. Exercises 2. Probability Theory on Coin Toss Space2.1. Finite Probability Spaces2.2. Random Variables, Distributions, and Expectations2.3. Conditional Expectations2.4. Martingales2.5. Markov Processes2.6. Summary2.7. Notes2.8. Exercises 3. State Prices3.1. Change of Measure3.2. Radon-Nikod'ym Derivative Process3.3. Capital Asset Pricing Model3.4. Summary3.5. Notes3.6. Exercises 4. American Derivative Securities4.1. Introduction4.2. Non-Path-Dependent American Derivatives4.3. Stopping Times4.4. General American Derivatives4.5. American Call Options4.6. Summary4.7. Notes4.8. Exercises 5. Random Walk5.1. Introduction5.2. First Passage Times5.3. Reflection Principle5.4. Perpetual American Put: An Example5.5. Summary5.6. Notes5.7. Exercises 6. Interest-Rate-Dependent Assets6.1. Introduction6.2. Binomial Model for Interest Rates6.3. Fixed-Income Derivatives6.4. Forward Measures6.5. Futures6.6. Summary6.7. Notes6.8. Exercises Proof of Fundamental Properties of Conditional ExpectationsReferencesIndex, [SC: 0.00], Neuware, gewerbliches Angebot, 24 cm, [GW: 458g]
Booklooker.de |
2004
ISBN: 9780387401003
[ED: gebundenes Buch], [PU: Springer Verlag GmbH], Based on a two-semester course sequence in the Master's program in Computational Finance at Carnegie Mellon. This book gives statements of results, plausibility arguments, and some proofs. But more importantly, it provides intuitive explanations, which are developed and refined through classroom experience with this material. Inhaltsangabe1. The Binomial No-Arbitrage Pricing Model 1.1. OnePeriod Binomial Model 1.2. Multiperiod Binomial Model 1.3. Computational Considerations 1.4. Summary 1.5. Notes 1.6. Exercises 2. Probability Theory on Coin Toss Space 2.1. Finite Probability Spaces 2.2. Random Variables, Distributions, and Expectations 2.3. Conditional Expectations 2.4. Martingales 2.5. Markov Processes 2.6. Summary 2.7. Notes 2.8. Exercises 3. State Prices 3.1. Change of Measure 3.2. RadonNikod'ym Derivative Process 3.3. Capital Asset Pricing Model 3.4. Summary 3.5. Notes 3.6. Exercises 4. American Derivative Securities 4.1. Introduction 4.2. NonPathDependent American Derivatives 4.3. Stopping Times 4.4. General American Derivatives 4.5. American Call Options 4.6. Summary 4.7. Notes 4.8. Exercises 5. Random Walk 5.1. Introduction 5.2. First Passage Times 5.3. Reflection Principle 5.4. Perpetual American Put: An Example 5.5. Summary 5.6. Notes 5.7. Exercises 6. InterestRateDependent Assets 6.1. Introduction 6.2. Binomial Model for Interest Rates 6.3. FixedIncome Derivatives 6.4. Forward Measures 6.5. Futures 6.6. Summary 6.7. Notes 6.8. Exercises Proof of Fundamental Properties of Conditional Expectations References Index [Inhaltsverzeichnis] The Binomial No-Arbitrage Pricing Model.- Probability Theory on Coin-Toss Space.- State Prices.- American Derivative Securities.- Random Walk.- Interest rate dependent assets., [SC: 0.00], Neuware, gewerbliches Angebot, 1.5 x 24 x 16, [GW: 459g], 1/2004
Booklooker.de |
ISBN: 9780387401003
ID: 182158899
This book evolved from the first ten years of the Carnegie Mellon professional Master´s program in Computational Finance. 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 refined through classroom experience with this material, are provided throughout the book. Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus, martingales, risk-neutral pricing, exotic options, and term structure models, all in continuous time. 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. Classroom-tested exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance. Instructor´s manual available. This book evolved from the first ten years of the Carnegie Mellon professional Master´s program in Computational Finance. 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 refined through classroom experience with this material, are provided Buch > Sozialwissenschaften, Recht & Wirtschaft > Wirtschaft > Allgemeines & Lexika, Springer, Berlin
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ISBN: 9780387401003
ID: 1175203
This book evolved from the first ten years of the Carnegie Mellon professional Mastera (TM)s program in Computational Finance. 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 refined through classroom experience with this material, are provided throughout the book. Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus, martingales, risk-neutral pricing, exotic options, and term structure models, all in continuous time. 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. Classroom-tested exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance. Instructor's manual available. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model Shreve, Steven E., Springer
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Title: | Stochastic Calculus for Finance I: The Binomial Asset Pricing Model |
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Details of the book - Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
EAN (ISBN-13): 9780387401003
ISBN (ISBN-10): 0387401008
Hardcover
Paperback
Publishing year: 2004
Publisher: SPRINGER VERLAG GMBH
187 Pages
Weight: 0,445 kg
Language: eng/Englisch
Book in our database since 25.02.2007 14:36:18
Book found last time on 28.10.2016 00:24:16
ISBN/EAN: 0387401008
ISBN - alternate spelling:
0-387-40100-8, 978-0-387-40100-3
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