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ISBN: 0387401016
ID: 20220812758
[EAN: 9780387401010], Neubuch, Business & Economics|Finance, Publisher/Verlag: Springer, Berlin | 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. | 1 General Probability Theory1.1 In.nite Probability Spaces1.2 Random Variables and Distributions1.3 Expectations1.4 Convergence of Integrals1.5 Computation of Expectations1.6 Change of Measure1.7 Summary1.8 Notes1.9 Exercises 2 Information and Conditioning2.1 Information and s-algebras2.2 Independence2.3 General Conditional Expectations2.4 Summary2.5 Notes2.6 Exercises 3 Brownian Motion3.1 Introduction3.2 Scaled Random Walks3.2.1 Symmetric Random Walk3.2.2 Increments of Symmetric Random Walk3.2.3 Martingale Property for Symmetric Random Walk3.2.4 Quadratic Variation of Symmetric Random Walk3.2.5 Scaled Symmetric Random Walk3.2.6 Limiting Distribution of Scaled Random Walk3.2.7 Log-Normal Distribution as Limit of Binomial Model3.3 Brownian Motion3.3.1 Definition of Brownian Motion3.3.2 Distribution of Brownian Motion3.3.3 Filtration for Brownian Motion3.3.4 Martingale Property for Brownian Motion3.4 Quadratic Variation3.4.1 First-Order Variation3.4.2 Quadratic Variation3.4.3 Volatility of Geometric Brownian Motion3.5 Markov Property3.6 First Passage Time Distribution3.7 Re.ection Principle3.7.1 Reflection Equality3.7.2 First Passage Time Distribution3.7.3 Distribution of Brownian Motion and Its Maximum3.8 Summary3.9 Notes3.10 Exercises 4 Stochastic Calculus4.1 Introduction4.2 It o's Integral for Simple Integrands4.2.1 Construction of the Integral4.2.2 Properties of the Integral4.3 It o's Integral for General Integrands4.4 It o-Doeblin Formula4.4.1 Formula for Brownian Motion4.4.2 Formula for It o Processes4.4.3 Examples4.5 Black-Scholes-Merton Equation4.5.1 Evolution of Portfolio Value4.5.2 Evolution of Option Value4.5.3 Equating the Evolutions4.5.4 Solution to the Black-Scholes-Merton Equation4.5.5 TheGreeks4.5.6 Put-Call Parity4.6 Multivariable Stochastic Calculus4.6.1 Multiple Brownian Motions4.6.2 It o-Doeblin Formula for Multiple Processes4.6.3 Recognizing a Brownian Motion4.7 Brownian Bridge4.7.1 Gaussian Processes4.7.2 Brownian Bridge as a Gaussian Process4.7.3 Brownian Bridge as a Scaled Stochastic Integral4.7.4 Multidimensional Distribution of Brownian Bridge4.7.5 Brownian Bridge as Conditioned Brownian Motion4.8 Summary4.9 Notes4.10 Exercises 5 Risk-Neutral Pricing5.1 Introduction 5.2 Risk-Neutral Measure 5.2.1 Girsanov's Theorem for a Single Brownian Motion 5.2.2 Stock Under the Risk-Neutral Measure 5.2.3 Value of Portfolio Process Under the Risk-Neutral Measure 5.2.4 Pricing Under the Risk-Neutral Measure 5.2.5 Deriving the Black-Scholes-Merton Formula 5.3 Martingale Representation Theorem 5.3.1 Martingale Representation with One Brownian Motion5.3.2 Hedging with One Stock 5.4 Fundamental Theorems of Asset Pricing 5.4.1 Girsanov and Martingale Representation Theorems 5.4.2 Multidimensional Market Model 5.4.3 Existence of Risk-Neutral Measure5.4.4 Uniqueness of the Risk-Neutral Measure 5.5 Dividend-Pay, [PU: Springer]
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Steven E. Shreve:
Stochastic Calculus for Finance II: Continuous-Time Models: v. 2 (Springer Finance) - hardcover2008, ISBN: 0387401016
[SR: 180368], Hardcover, [EAN: 9780387401010], Springer, Springer, Book, [PU: Springer], 2008-06-19, Springer, Stochastic Calculus for Finance II: Continuous-Time Models: v. 2 (Springer Finance / Springer Finance Textbooks), 268091, Accounting, 659892, Audits & Auditing, 659894, Book-keeping, 268092, Cost, 268093, Financial, 268094, Financial Reporting & Statements, 268097, International, 268098, Management Accounting, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268153, Economics, 268156, Econometrics, 268159, Economic Conditions, 268160, Economic Policy & Development, 506824, Economic Systems, 268163, History, 268164, International Economics, 268170, Labour, 268173, Macroeconomics, 268176, Microeconomics, 268177, Political Economy, 268178, Theory & Philosophy, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268216, Public, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 278329, Applied Mathematics, 922530, Mathematical Modelling, 278335, Mathematics for Scientists & Engineers, 278419, Physics, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 278381, Game Theory, 278380, Optimisation, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 278385, Probability & Statistics, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 922942, Maths, 922868, Popular Science, 57, Science & Nature, 1025612, Subjects, 266239, Books, 570878, Statistics & Probability, 570874, Applied Mathematics, 564352, Mathematics, 564334, Scientific, Technical & Medical, 1025612, Subjects, 266239, Books
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2008
ISBN: 0387401016
[SR: 180368], Hardcover, [EAN: 9780387401010], Springer, Springer, Book, [PU: Springer], 2008-06-19, Springer, Stochastic Calculus for Finance II: Continuous-Time Models: v. 2 (Springer Finance / Springer Finance Textbooks), 268091, Accounting, 659892, Audits & Auditing, 659894, Book-keeping, 268092, Cost, 268093, Financial, 268094, Financial Reporting & Statements, 268097, International, 268098, Management Accounting, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268153, Economics, 268156, Econometrics, 268159, Economic Conditions, 268160, Economic Policy & Development, 506824, Economic Systems, 268163, History, 268164, International Economics, 268170, Labour, 268173, Macroeconomics, 268176, Microeconomics, 268177, Political Economy, 268178, Theory & Philosophy, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268216, Public, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 278329, Applied Mathematics, 922530, Mathematical Modelling, 278335, Mathematics for Scientists & Engineers, 278419, Physics, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 278381, Game Theory, 278380, Optimisation, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 278385, Probability & Statistics, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 922942, Maths, 922868, Popular Science, 57, Science & Nature, 1025612, Subjects, 266239, Books, 570878, Statistics & Probability, 570874, Applied Mathematics, 564352, Mathematics, 564334, Scientific, Technical & Medical, 1025612, Subjects, 266239, Books
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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 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. Stochastic Calculus for Finance II: Continuous-Time Models Shreve, Steven E., Springer
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Title: | Stochastic Calculus for Finance II: Continuous-Time Models |
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Details of the book - Stochastic Calculus for Finance II: Continuous-Time Models
EAN (ISBN-13): 9780387401010
ISBN (ISBN-10): 0387401016
Hardcover
Paperback
Publishing year: 2004
Publisher: SPRINGER VERLAG GMBH
569 Pages
Weight: 0,930 kg
Language: eng/Englisch
Book in our database since 20.02.2007 15:02:14
Book found last time on 01.01.2017 19:12:32
ISBN/EAN: 9780387401010
ISBN - alternate spelling:
0-387-40101-6, 978-0-387-40101-0
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