ISBN: 9780387401010
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 succ… More...
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ISBN: 9780387401010
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 cl… More...
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2004, ISBN: 9780387401010
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2010, ISBN: 0387401016
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ISBN: 9780387401010
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 succ… More...
ISBN: 9780387401010
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 cl… More...
2004
ISBN: 9780387401010
[PU: Springer US], Gepflegter, sauberer Zustand. 1. Auflage. Aus der Auflösung einer renommierten Bibliothek. Kann Stempel beinhalten. 1479178/202, DE, [SC: 0.00], gebraucht; sehr gut, g… More...
2010, ISBN: 0387401016
[EAN: 9780387401010], Gebraucht, guter Zustand, [SC: 8.82], [PU: Springer New York], Former library book; may include library markings. Used book that is in clean, average condition witho… More...
2004, ISBN: 0387401016
[EAN: 9780387401010], Neubuch, [PU: Springer], In, Books
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Details of the book - Stochastic Calculus for Finance II: Continuous-Time Models Steven Shreve Author
EAN (ISBN-13): 9780387401010
ISBN (ISBN-10): 0387401016
Hardcover
Paperback
Publishing year: 2004
Publisher: Springer New York Core >2 >T
569 Pages
Weight: 0,930 kg
Language: eng/Englisch
Book in our database since 2007-02-20T09:02:14-05:00 (New York)
Detail page last modified on 2024-02-08T06:40:29-05:00 (New York)
ISBN/EAN: 9780387401010
ISBN - alternate spelling:
0-387-40101-6, 978-0-387-40101-0
Alternate spelling and related search-keywords:
Book author: shreve, steven, carnegie, springer
Book title: springer, stochastic calculus for finance, model, finance stochastic calculus continuous time models, calculus the, time goes, last time, doing time, how tell time, little time, time and the other, just not time, time brief, vol, within time, new york times
Information from Publisher
Author: Steven Shreve
Title: Springer Finance Textbooks; Springer Finance; Stochastic Calculus for Finance II - Continuous-Time Models
Publisher: Springer; Springer US
550 Pages
Publishing year: 2004-06-03
New York; NY; US
Printed / Made in
Weight: 2,160 kg
Language: English
65,99 € (DE)
BB; Quantitative Finance; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Angewandte Mathematik; Verstehen; CON_D035; adopted-textbook; adopted-textbook NY; quantitative finance; Applications of Mathematics; Probability Theory and Stochastic Processes; Public Economics; Finance, general; Mathematics in Business, Economics and Finance; Applications of Mathematics; Probability Theory; Public Economics; Financial Economics; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Öffentlicher Dienst und öffentlicher Sektor; Finanzenwesen und Finanzindustrie; BC; EA
1 General Probability Theory 1.1 In.nite 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 s-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 3.2.1 Symmetric Random Walk 3.2.2 Increments of Symmetric Random Walk 3.2.3 Martingale Property for Symmetric Random Walk 3.2.4 Quadratic Variation of Symmetric Random Walk 3.2.5 Scaled Symmetric Random Walk 3.2.6 Limiting Distribution of Scaled Random Walk 3.2.7 Log-Normal Distribution as Limit of Binomial Model 3.3 Brownian Motion 3.3.1 Definition of Brownian Motion 3.3.2 Distribution of Brownian Motion 3.3.3 Filtration for Brownian Motion 3.3.4 Martingale Property for Brownian Motion 3.4 Quadratic Variation 3.4.1 First-Order Variation 3.4.2 Quadratic Variation 3.4.3 Volatility of Geometric Brownian Motion 3.5 Markov Property 3.6 First Passage Time Distribution 3.7 Re.ection Principle 3.7.1 Reflection Equality 3.7.2 First Passage Time Distribution 3.7.3 Distribution of Brownian Motion and Its Maximum 3.8 Summary 3.9 Notes 3.10 Exercises 4 Stochastic Calculus 4.1 Introduction 4.2 Itˆo's Integral for Simple Integrands 4.2.1 Construction of the Integral 4.2.2 Properties of the Integral 4.3 Itˆo's Integral for General Integrands 4.4 Itˆo-Doeblin Formula 4.4.1 Formula for Brownian Motion 4.4.2 Formula for Itˆo Processes 4.4.3 Examples 4.5 Black-Scholes-Merton Equation 4.5.1 Evolution of Portfolio Value 4.5.2 Evolution of Option Value 4.5.3 Equating the Evolutions 4.5.4 Solution to the Black-Scholes-Merton Equation 4.5.5 TheGreeks 4.5.6 Put-Call Parity 4.6 Multivariable Stochastic Calculus 4.6.1 Multiple Brownian Motions 4.6.2 Itˆo-Doeblin Formula for Multiple Processes 4.6.3 Recognizing a Brownian Motion 4.7 Brownian Bridge 4.7.1 Gaussian Processes 4.7.2 Brownian Bridge as a Gaussian Process 4.7.3 Brownian Bridge as a Scaled Stochastic Integral 4.7.4 Multidimensional Distribution of Brownian Bridge 4.7.5 Brownian Bridge as Conditioned Brownian Motion 4.8 Summary 4.9 Notes 4.10 Exercises 5 Risk-Neutral Pricing 5.1 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 Motion 5.3.2 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 Measure 5.4.4 Uniqueness of the Risk-Neutral Measure 5.5 Dividend-Paying Stocks 5.5.1 Continuously Paying Dividend 5.5.2 Continuously Paying Dividend with Constant Coeffcients 5.5.3 Lump Payments of Dividends 5.5.4 Lump Payments of Dividends with Constant Coeffcients 5.6 Forwards and Futures 5.6.1 Forward Contracts 5.6.2 Futures Contracts 5.6.3 Forward-Futures Spread 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 IntroductionMore/other books that might be very similar to this book
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