Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
by Steven E. Shreve
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Book Summary Information
Author: Steven E. ShreveEdition: Hardcover
Audio: English (Original Language); English (Unknown); English (Published)
Published: 2008-04-25
ISBN: 0387401016
Number of pages: 550
Publisher: Springer
Accessories:
- Applied Partial Differential Equations:: A Visual Approach
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
Book Reviews of Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Book Review: Good and rigourous intro to financial maths
Summary: 5 Stars
This is definitely one of the best introductory books on financial mathematics. The book starts to make sense after a summer course in discrete-time martingale course (using william's blue book). Shreve's book gives a general introduction to Brownian motion and Ito stochastic calculus. At the same time, he shows how to apply these theoreis into financial maths, equity or interest rate etc. If you want to learn financial mathematics at a relatively more rigourous level (yet still not too difficult), this is the book to read. If you want intuition and implementation, I strongly recommend Mark Joshi's concepts and practice of mathematical finance.
Summary of Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
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.
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