Stochastic Calculus for Finance I: The Binomial Asset Pricing Model

Paperback | June 28, 2005

bySteven Shreve

not yet rated|write a review
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

Pricing and Purchase Info

$64.84 online
$71.50 list price (save 9%)
In stock online
Ships free on orders over $25

From the Publisher

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 ...

From the Jacket

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of res...

Format:PaperbackDimensions:202 pages, 9.25 × 6.1 × 0.27 inPublished:June 28, 2005Publisher:Springer New YorkLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0387249680

ISBN - 13:9780387249681

Look for similar items by category:

Customer Reviews of Stochastic Calculus for Finance I: The Binomial Asset Pricing Model

Reviews

Extra Content

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