Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) (v. 1) |  | Author: Steven E. Shreve
Publisher: Springer
List Price: $39.95
Buy New: $25.52
as of 11/21/2009 14:31 CST details
You Save: $14.43 (36%)
New (37) Used (16) from $25.52
Seller: BOOKS__UNLIMITED
Rating:  16 reviews
Sales Rank: 30249
Media: Paperback
Edition: 1
Pages: 187
Number Of Items: 1
Shipping Weight (lbs): 0.7
Dimensions (in): 9.1 x 5.9 x 0.6
ISBN: 0387249680
Dewey Decimal Number: 511
EAN: 9780387249681
ASIN: 0387249680
Publication Date: June 28, 2005
Availability: Usually ships in 1-2 business days
| |
| Features:
|
| Also Available In:
|
| Accessories:
|
| Similar Items:
| |
| Editorial Reviews:
Product Description
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.
|
| Customer Reviews:
Showing reviews 1-5 of 16
 Excellent introduction to option privcing July 6, 2009
J. Christensen
Shreve's book is an excellent introduction to basic options pricing. He not only deals with plain vanilla options, but also shows how the binomial model can be used to to value exotic options. Each chapter has exercises which not only apply what is taught but force you to think and ensure that you really understand it.
Little more than basic algebra is required to understand the text, making it very accessible. His expositions of topics such as martingales, markov processes, etc. are very good. The text can be dense, though--there's a great deal of information.
In short, if you want an introduction of how options can be priced without the partial differential equations in the Black-Scholes model, this is an excellent choice.
Best SC book ever April 5, 2008
Lost in Life (New York, NY)
I have the 1st version (pdf), so I hesitated before I make the purchase. Now it turns out that the book is worthy every buck.
1. Use coin tossing space consistently as working sample. Very intuitive, never get the idea lost in abstract concepts.
2. Detailed workout of examples. Very good for self study.
3. Plenty of hands-on homeworks. Not necessarily very challenging. But provide good amount of extra examples.
If anything the book can add, I hope it can supply implementations, in Matlab or C++. Well, it may be far stretching for a math book.
 Good book February 17, 2008
Ken (Tennessee)
0 out of 5 found this review helpful
excellent book for anybody who is a student of financial calculus . One can get some insight into how financial managers plan portfolios and how they make investment decisions.
 Great intro for discrete-time models February 5, 2008
C. Yang (Shanghai, CHN)
I studied this book for the first half of a fourth year financial maths subject at univerisity of melbourne. Binomial models are the only feasible model for pricing american derivatives at the moment, so it is worthwhile to learn the mechanics of such practical models. The author proves all his theorems elegantly using mathematical induction. He even uses proability theory and discrete-time martingale theories to simplify the valuation of European-type derivatives (just take conditional expectations and discount straight back to the current time -- instead of doing those backward averaging and discount node by node; both methods are done under the risk-neutral measure).
fantabulous!!! January 18, 2008
Karun Gahlawat (USA)
i have read so many books on financial engineering but this one makes all theories so streamlined!!! I read Neftci and I liked it. After reading this, all steps come out clear. The part 2 is fascinating as well. Hail Mugambo!
Showing reviews 1-5 of 16
|
|
|
|
