Name: Stochastic Calculus for Finance I By Steven Shreve
SKU: 9780387249681
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Stochastic Calculus for Finance I Summary

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven Shreve

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

1. The Binomial No-Arbitrage Pricing Model 1.1. One-Period 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. Radon-Nikod\\'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. Non-Path-Dependent 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. Interest-Rate-Dependent Assets 6.1. Introduction 6.2. Binomial Model for Interest Rates 6.3. Fixed-Income 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

Additional information

Sku

GOR002487519

ISBN 13

9780387249681

ISBN 10

0387249680

Title

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven Shreve

Author

Steven Shreve

Series

Springer Finance Textbooks

Condition

Used - Very Good

Binding type

Paperback

Publisher

Springer-Verlag New York Inc.

Year published

20050628

Number of pages

187

Prizes

N/A

Cover note

Book picture is for illustrative purposes only, actual binding, cover or edition may vary.

Note

This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us

Stochastic Calculus for Finance I Steven Shreve

Stochastic Calculus for Finance I by Steven Shreve

Summary

Stochastic Calculus for Finance I Summary

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven Shreve

Table of Contents

Additional information

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