Stochastic calculus for finance; Vol. II
By: Shreve, Steven E.
Material type:
BookSeries: Springer Finance Series. Publisher: New York Springer Verlag 2004Description: 550 p.ISBN: 0387401016.Subject(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 |
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| 332.01519542 N3P7 Probabilistic methods for financial and marketing informatics | 332.01519542 R2B2 Bayesian methods in finance | 332.0151955 H2 Handbook of financial time series | 332.018 S4S8-II Stochastic calculus for finance; Vol. II | 332.018 A2/2008-6 Advances in quantitative analysis of finance and accounting Vol. - VI | 332.018 B3F4/2000 Financial modeling | 332.018 B6N6 Non-Gaussian merton-black-scholes theory |
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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