Stochastic calculus for finance; Vol. II
Shreve, Steven E
creator
text
xxu
New York
Springer Verlag
2004
monographic
eng
550 p.
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.
Shreve, Steven E
Lib. has: Vol. I Binomial asset pricing models & Vol.II: Continuous-time models
Finance - Mathematical models - Textbooks
Stochastic analysis - Textbooks
332.018
Springer Finance Series
0387401016
140323