Stochastic Calculus Models for Finance The Binomial Asset Pricing Model

Name: Stochastic Calculus Models for Finance The Binomial Asset Pricing Model
Price: 54.89 USD
Availability: InStock
ISBN: 9780387401003

ISBN-10: 0387401008

ISBN-13: 9780387401003

Edition: 2004

Authors: Steven E. Shreve

List price: $64.99

This item qualifies for FREE shipping.

30 day, 100% satisfaction guarantee!

Buy new: $69.10

Marketplace

3 new & used from $54.89

what's this?

Rush Rewards U
Members Receive:

You have reached 400 XP and carrot coins. That is the daily max!

Description:

This book evolved from the first ten years of the Carnegie Mellon professional Masters program in Computational Finance. The contents of the book have 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 refined through classroom experience with this material, are provided throughout the book. Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus, martingales, risk-neutral pricing,…

Book details

List price: $64.99
Copyright year: 2004
Publisher: Springer New York
Publication date: 4/21/2004
Binding: Hardcover
Pages: 187
Size: 6.10" wide x 9.25" long x 0.75" tall
Weight: 1.254
Language: English




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 Excectations


References


Index