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Stochastic Calculus for Finance I The Binomial Asset Pricing Model

ISBN-10: 0387249680
ISBN-13: 9780387249681
Edition: 2004
Authors: Steven E. Shreve
List price: $54.95 Buy it from $14.26
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Description: 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  More...

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Book details

List price: $54.95
Copyright year: 2004
Publisher: Springer
Publication date: 6/28/2005
Binding: Paperback
Pages: 187
Size: 6.00" wide x 9.00" long x 0.25" tall
Weight: 0.880
Language: English

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 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 for stchastic 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. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume.Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance.Advanced undergraduates and Masters level students in mathematical finance and financial engineering will find this book useful.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.

The Binomial No-Arbitrage Pricing Model
One-Period Binomial Model
Multiperiod Binomial Model
Computational Considerations
Summary
Notes
Exercises
Probability Theory on Coin Toss Space
Finite Probability Spaces
Random Variables, Distributions, and Expectations
Conditional Expectations
Martingales
Markov Processes
Summary
Notes
Exercises
State Prices
Change of Measure
Radon-Nikod'ym Derivative Process
Capital Asset Pricing Model
Summary
Notes
Exercises
American Derivative Securities
Introduction
Non-Path-Dependent American Derivatives
Stopping Times
General American Derivatives
American Call Options
Summary
Notes
Exercises
Random Walk
Introduction
First Passage Times
Reflection Principle
Perpetual American Put: An Example
Summary
Notes
Exercises
Interest-Rate-Dependent Assets
Introduction
Binomial Model for Interest Rates
Fixed-Income Derivatives
Forward Measures
Futures
Summary
Notes
Exercises Proof of Fundamental Properties of Conditional Expectations
References
Index

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