Stochastic calculus for finance; Vol. II Shreve, Steven E
By: Shreve, Steven E
Material type:
TextSeries: Springer Finance SeriesPublisher: New York Springer Verlag 2004Description: 550 p.ISBN: 0387401016Subject(s): Finance - Mathematical models - Textbooks | Stochastic analysis - Textbooks
DDC classification: 332.018 Summary: 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 fr 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.
| Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| Books | Vikram Sarabhai Library | 332.018 S4S8-II (Browse shelf) | Available | 159815 |
Lib. has: Vol. I Binomial asset pricing models & Vol.II: Continuous-time models
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 fr 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.
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