Stochastic Calculus for Finance Ii: Continuous-Time Models

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9781441923110: Stochastic Calculus for Finance Ii: Continuous-Time Models
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Book by Shreve Steven

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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 classical models of finance through an applied probability approach. . . . It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance. -SIAM

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9780387401010: Stochastic Calculus for Finance II: Continuous-Time Models

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ISBN 10 :  0387401016 ISBN 13 :  9780387401010
Editeur : Springer-Verlag New York Inc., 2004
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1.

Steven E. Shreve
Edité par Springer-Verlag New York Inc., United States (2010)
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Springer-Verlag New York Inc., United States, 2010. Paperback. Etat : New. Language: English . Brand New Book. 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 classical models of finance through an applied probability approach.It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance. --SIAM Softcover reprint of the original 1st ed. 2004. N° de réf. du vendeur KNV9781441923110

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Steven Shreve (author)
Edité par Springer New York 2010-12-01, New York (2010)
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Springer New York 2010-12-01, New York, 2010. paperback. Etat : New. N° de réf. du vendeur 9781441923110

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Steven E. Shreve
Edité par Springer-Verlag New York Inc., United States (2010)
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Springer-Verlag New York Inc., United States, 2010. Paperback. Etat : New. Language: English . Brand New Book. 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 classical models of finance through an applied probability approach.It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance. --SIAM Softcover reprint of the original 1st ed. 2004. N° de réf. du vendeur KNV9781441923110

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Steven E. Shreve
Edité par Springer-Verlag New York Inc., United States (2010)
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Springer-Verlag New York Inc., United States, 2010. Paperback. Etat : New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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 classical models of finance through an applied probability approach.It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance. --SIAM Softcover reprint of the original 1st ed. 2004. N° de réf. du vendeur LIE9781441923110

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Shreve, Steven E.
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Etat : New. Publisher/Verlag: Springer, Berlin | Continuous-Time Models | 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.Masters level students and researchers in mathematical finance and financial engineering will find this book useful.Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education. "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 classical models of finance through an applied probability approach.It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM This text has grown out of a two-semester course sequence in the Carnegie Mellon Master's program in Computational Finance. It contains numerous examples, exercises, and references. It assumes the reader is familiar with differential and integral calculus and basic concepts from calculus-based probability. It does not assume familiarity with measure-theoretic probability, but rather informally develops the necessary tools from this subject within the text. | 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 Motion. N° de réf. du vendeur K9781441923110

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Shreve, Steven E
Edité par Springer-Verlag New York Inc. (2010)
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Springer-Verlag New York Inc., 2010. PAP. Etat : New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur IQ-9781441923110

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Shreve, Steven
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Description du livre Springer, 2016. Paperback. Etat : New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. N° de réf. du vendeur ria9781441923110_lsuk

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STEVEN SHREVE
Edité par Springer (2010)
ISBN 10 : 144192311X ISBN 13 : 9781441923110
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Description du livre Springer, 2010. Paperback. Etat : NEW. 9781441923110 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. N° de réf. du vendeur HTANDREE0412104

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Description du livre Springer-Verlag New York Inc., 2010. PAP. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur LQ-9781441923110

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Steven Shreve
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Description du livre Springer, 2010. Paperback. Etat : New. N° de réf. du vendeur DADAX144192311X

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