Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) (v. 2) |  | Author: Steven E. Shreve
Publisher: Springer
List Price: $74.95
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Rating:  27 reviews
Sales Rank: 35947
Media: Hardcover
Edition: 1st ed. 2004. Corr. 2nd printing
Pages: 550
Number Of Items: 1
Shipping Weight (lbs): 2
Dimensions (in): 9.3 x 6.5 x 1.6
ISBN: 0387401016
Dewey Decimal Number: 332.0151922
EAN: 9780387401010
ASIN: 0387401016
Publication Date: April 25, 2008
Availability: Usually ships in 24 hours
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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. 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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Showing reviews 1-5 of 27
 Finally, a book that explains.. February 22, 2009
Devendra Canchi (Purdue University, West Lafayette, IN)
As one of my Math professors put it, "a mathematician will never ever dream of coming up with Black-Scholes formula". The key here is to understand why Fischer Black and Myron Scholes were forced to make the kind of assumptions they have made to price an option contract. The adapted processes, the sigma algebras and several such seemingly abstract concepts are hard to understand or even teach in one or two semesters. It seems the accepted pedagogical approach in teaching this subject has been to skim the surface and focus on the senseless derivation and application of this now infamous formula. You were told that somehow (magically) Black-Scholes works. You were also told to take many things on faith. But for those you who are not willing to surrender that easily, Steven Shreve can be your savior. The author meticulously proved everything. He explains (in amazingly concise format), the most basic ingredients of continuous time finance. There is undoubtedly a philosophical bent to the whole approach and that becomes apparent as you read the book.
The best part is that you could start almost anywhere and work your way backwards through easily navigable theorems and definitions. The notation is straightforward; however it does take some time to get used to.
Good and rigourous intro to financial maths May 3, 2008
C. Yang (Shanghai, CHN)
1 out of 1 found this review helpful
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.
excellent book on quantitative finance March 24, 2008
Jun Ge (Chapel Hill, NC)
0 out of 3 found this review helpful
Nicely written. Shreve is the one of the best authors in mathematical writings(another one I like is milnor). Worth buying one.
The definitive word January 13, 2008
P. Bhowmick
1 out of 1 found this review helpful
This is the most fundamental word in mathematical finance. Those with a background in math will benefit most: ordinary differential equations, probability theory, statistics and multivariable calculus prerequisites. This is a very mathematical approach. Don't look to it for computational implementations of the financial models it covers. But for the mathematical foundations of the models, this is THE book.
Great, easy to understand introduction to mathematical finance June 21, 2007
Victor Wai Tak Kam (Pasadena, CA United States)
4 out of 4 found this review helpful
I say it's an "introduction" because I have little background in both stochastic calculus and finance but find this to be fairly easy to read. Unlike other texts that present the material in a much more dense manner, i.e. skipping over the majority of derivations, Schreve goes through the derivation for even the most routine of derivations--which is actually great for a newbie like me.
The text is self-contained and covers a wide range of topics. I would like him to cover some practical aspects of modeling in finance, but that's really not what the text is about. For what it set out to explain, it does a great job. 5 stars.
Showing reviews 1-5 of 27
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