Stochastic calculus for finance
Steven E. Shreve (Author)
"This book is being published in two volumes. The first volume presents the binomial asset pricing model primarily as a vehicle for introducing in a simple setting the concepts needed for the continuous-time theory in the second volume." The "second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options, and term structure models, all in continuous time"--Back covers
Textbooks
2 volumes : illustrations ; 24 cm
9780387401003, 9780387401010, 9780387249681, 9781441923110, 0387401008, 0387401016, 0387249680, 144192311X
53289874
1 General Probability Theory.- 2 Information and Conditioning.- 3 Brownian Motion.- 4 Stochastic Calculus.- 5 Risk-Neutral Pricing.- 6 Connections with Partial Differential Equations.- 7 Exotic Options.- 8 American Derivative Securities.- 9 Change of Numéraire.- 10 Term-Structure Models.- 11 Introduction to Jump Processes.- A Advanced Topics in Probability Theory.- A.1 Countable Additivity.- A.3 Random Variable with Neither Density nor Probability Mass Function.- B Existence of Conditional Expectations.- C Completion of the Proof of the Second Fundamental Theorem of Asset Pricing.- References.