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

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model

bySteven Shreve

Paperback | June 28, 2005

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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 yearsExercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

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Title:Stochastic Calculus for Finance I: The Binomial Asset Pricing ModelFormat:PaperbackDimensions:202 pages, 9.25 × 6.1 × 0.03 inPublished:June 28, 2005Publisher:Springer New YorkLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0387249680

ISBN - 13:9780387249681

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Table of Contents

1. The Binomial No-Arbitrage Pricing Model1.1. One-Period Binomial Model1.2. Multiperiod Binomial Model1.3. Computational Considerations1.4. Summary1.5. Notes1.6. Exercises2. Probability Theory on Coin Toss Space2.1. Finite Probability Spaces2.2. Random Variables, Distributions, and Expectations2.3. Conditional Expectations2.4. Martingales2.5. Markov Processes2.6. Summary2.7. Notes2.8. Exercises3. State Prices3.1. Change of Measure3.2. Radon-Nikod\'ym Derivative Process3.3. Capital Asset Pricing Model3.4. Summary3.5. Notes3.6. Exercises4. American Derivative Securities4.1. Introduction4.2. Non-Path-Dependent American Derivatives4.3. Stopping Times4.4. General American Derivatives4.5. American Call Options4.6. Summary4.7. Notes4.8. Exercises5. Random Walk5.1. Introduction5.2. First Passage Times5.3. Reflection Principle5.4. Perpetual American Put: An Example5.5. Summary5.6. Notes5.7. Exercises6. Interest-Rate-Dependent Assets6.1. Introduction6.2. Binomial Model for Interest Rates6.3. Fixed-Income Derivatives6.4. Forward Measures6.5. Futures6.6. Summary6.7. Notes6.8. ExercisesProof of Fundamental Properties of Conditional ExpectationsReferencesIndex