false 136078 0 0 232559 0387401016 9780387401010 2 <![CDATA[Stochastic Calculus Models for Finance: Continuous Time Models]]> http://photo.goodreads.com/books/1172948174m/232559.jpg http://photo.goodreads.com/books/1172948174s/232559.jpg http://www.goodreads.com/book/show/232559.Stochastic_Calculus_Models_for_Finance_Continuous_Time_Models 4.33 9 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 stochastic 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. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

Master's level students and researchers in mathematical finance and financial engineering will find this book useful.

]]> 136078 4.43 14 2 2004 232560 0387249680 9780387249681 0 <![CDATA[Stochastic Calculus for Finance I: The Binomial Asset Pricing Model]]> http://photo.goodreads.com/books/1172948174m/232560.jpg http://photo.goodreads.com/books/1172948174s/232560.jpg http://www.goodreads.com/book/show/232560.Stochastic_Calculus_for_Finance_I_The_Binomial_Asset_Pricing_Model 4.33 3 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 stochastic 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.

]]> 136078 4.43 14 2 2005 480355 0387976558 9780387976556 0 <![CDATA[Brownian Motion and Stochastic Calculus]]> http://photo.goodreads.com/books/1175110679m/480355.jpg http://photo.goodreads.com/books/1175110679s/480355.jpg http://www.goodreads.com/book/show/480355.Brownian_Motion_and_Stochastic_Calculus 5.00 2 This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization).

This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

]]> 268556 5.00 2 0 136078 4.43 14 2 1998 404071 0387944397 9780387944395 0 <![CDATA[Mathematical Finance (The IMA Volumes in Mathematics and its Applications)]]> http://www.goodreads.com/images/nocover-111x148.jpg http://www.goodreads.com/images/nocover-60x80.jpg http://www.goodreads.com/book/show/404071.Mathematical_Finance 0.0 0 136078 4.43 14 2 1995 1132057 0387401008 9780387401003 0 <![CDATA[Stochastic Calculus for Finance: Binomial Asset Pricing Model v. 1]]> http://www.goodreads.com/images/nocover-111x148.jpg http://www.goodreads.com/images/nocover-60x80.jpg http://www.goodreads.com/book/show/1132057.Stochastic_Calculus_for_Finance_Binomial_Asset_Pricing_Model_v_1 0.0 0 This book evolved from the first ten years of the Carnegie Mellon professional Master’s 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.

]]> 136078 4.43 14 2 2004 366076 1886529035 9781886529038 0 <![CDATA[Stochastic Optimal Control: The Discrete-Time Case (Optimization and Neural Computation Series)]]> http://photo.goodreads.com/books/1174151575m/366076.jpg http://photo.goodreads.com/books/1174151575s/366076.jpg http://www.goodreads.com/book/show/366076.Stochastic_Optimal_Control_The_Discrete_Time_Case 0.0 0 118709 4.33 12 1 136078 4.43 14 2 2007 3664987 0120932601 9780120932603 0 <![CDATA[Stochastic Optimal Control: The Discrete Time Case]]> http://www.goodreads.com/images/nocover-111x148.jpg http://www.goodreads.com/images/nocover-60x80.jpg http://www.goodreads.com/book/show/3664987.Stochastic_Optimal_Control_The_Discrete_Time_Case 0.0 0 118709 4.33 12 1 136078 4.43 14 2 1978