Stochastic Calculus Models for Finance The Binomial Asset Pricing Model
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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, exotic options, and term structure models, all in continuous time. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes. Classroom-tested exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance. Instructor's manual available.
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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $54.95
Copyright year: 2004
Publication date: 4/21/2004
Size: 6.25" wide x 9.25" long x 0.75" tall
|The Binomial No-Arbitrage Pricing Model|
|One-Period Binomial Model|
|Multiperiod Binomial Model|
|Probability Theory on Coin Toss Space|
|Finite Probability Spaces|
|Random Variables, Distributions, and Expectations|
|Change of Measure|
|Radon-Nikod'ym Derivative Process|
|Capital Asset Pricing Model|
|American Derivative Securities|
|Non-Path-Dependent American Derivatives|
|General American Derivatives|
|American Call Options|
|First Passage Times|
|Perpetual American Put: An Example|
|Binomial Model for Interest Rates|
|Exercises Proof of Fundamental Properties of Conditional Excectations|