Stochastic Calculus for Finance II | Buch

Cover: 9780387401010 | Stochastic Calculus for Finance II | Continuous-Time Models | Shreve

Rückseite: 9780387401010 | Stochastic Calculus for Finance II | Continuous-Time Models | Shreve

Bild: 9780387401010 | Stochastic Calculus for Finance II | Continuous-Time Models | Shreve

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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.

Zusammenfassung

Inhaltsverzeichnis

1 General Probability Theory.- 2 Information and Conditioning.- 3 Brownian Motion.- 4 Stochastic Calculus.- 5 Risk-Neutral Pricing.- 6 Connections with Partial Differential Equations.- 7 Exotic Options.- 8 American Derivative Securities.- 9 Change of Numéraire.- 10 Term-Structure Models.- 11 Introduction to Jump Processes.- A Advanced Topics in Probability Theory.- A.1 Countable Additivity.- A.3 Random Variable with Neither Density nor Probability Mass Function.- B Existence of Conditional Expectations.- C Completion of the Proof of the Second Fundamental Theorem of Asset Pricing.- References.

Erscheinungsjahr:	2004
Fachbereich:	Betriebswirtschaft
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	xix 550 S. 28 Abb.
ISBN-13:	9780387401010
ISBN-10:	0387401016
Sprache:	Englisch
Einband:	Gebunden
Autor:	Shreve, Steven
Hersteller:	Springer Springer US Springer US, New York, N.Y.
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 37 mm
Von/Mit:	Steven Shreve
Erscheinungsdatum:	03.06.2004
Gewicht:	1,016 kg