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ISBN: 9780387401003

[ED: Buch], [PU: Springer Verlag GmbH], Neuware - 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, [SC: 3.95], Neuware, gewerbliches Angebot, 1.5 x 24 x 16, [GW: 459g]

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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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2004, ISBN: 0387401008

ID: 9689454433

[EAN: 9780387401003], Nieuw boek, [SC: 11.99], [PU: Springer Apr 2004], FINANZMATHEMATIK; MATHEMATIK / FINANZMATHEMATIK, Mathematics|Calculus, Mathematics|General, Mathematics|Mathematical Analysis, Neuware - 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 187 pp. Englisch

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Stochastic Calculus for Finance I: the Binomial Asset Pricing Model: Binomial Asset Pricing Model V. 1 (Springer Finance / Springer Finance Textbooks)

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2004, ISBN: 9780387401003

ID: 13786618653

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ISBN: 9780387401003

ID: 9780387401003

Stochastic Calculus for Finance I Stochastic-Calculus-for-Finance-I~~Steven-E-Shreve Science>Statistics & Probability>Statistics & Probability Hardcover, Springer New York

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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 29.03.2017 21:12:56

ISBN/EAN: 0387401008

ISBN - alternate spelling:

0-387-40100-8, 978-0-387-40100-3

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