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The Binomial Asset Pricing Model, Buch, Hardcover, 2004 ed. Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering … Plus…

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Stochastic Calculus for Finance I - edition reliée, livre de poche

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Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S.Has been tested in the classroom and revi… Plus…

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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) - Livres de poche

2004

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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) - Livres de poche

2004, ISBN: 0387401008

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Stochastic Calculus for Finance I

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. TOC:The Binomial No-Arbitrage Pricing Model.- Probability Theory on Coin-Toss Space.- State Prices.- American Derivative Securities.- Random Walk.- Interest rate dependent assets.

Informations détaillées sur le livre - Stochastic Calculus for Finance I


EAN (ISBN-13): 9780387401003
ISBN (ISBN-10): 0387401008
Version reliée
Livre de poche
Date de parution: 2004
Editeur: Springer-Verlag New York Inc.
187 Pages
Poids: 0,445 kg
Langue: eng/Englisch

Livre dans la base de données depuis 2007-02-25T14:36:18+01:00 (Paris)
Page de détail modifiée en dernier sur 2024-02-24T05:14:22+01:00 (Paris)
ISBN/EAN: 9780387401003

ISBN - Autres types d'écriture:
0-387-40100-8, 978-0-387-40100-3
Autres types d'écriture et termes associés:
Auteur du livre: shreve steven, carnegie, springer
Titre du livre: springer, stochastic calculus finance binomial asset pricing model, binomi, calculus the, stochastic calculus for finance models


Données de l'éditeur

Auteur: Steven Shreve
Titre: Springer Finance Textbooks; Springer Finance; Stochastic Calculus for Finance I - The Binomial Asset Pricing Model
Editeur: Springer; Springer US
187 Pages
Date de parution: 2004-04-21
New York; NY; US
Imprimé / Fabriqué en
Poids: 1,040 kg
Langue: Anglais
64,19 € (DE)
65,99 € (AT)
71,00 CHF (CH)
POD
XV, 187 p.

BB; Quantitative Finance; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Angewandte Mathematik; Verstehen; Arbitrage; Finance; Measure; Probability space; Probability theory; Random variable; Sage; Stochastic calculus; quantitative finance; Applications of Mathematics; Finance, general; Probability Theory and Stochastic Processes; Mathematics in Business, Economics and Finance; Applications of Mathematics; Financial Economics; Probability Theory; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Finanzenwesen und Finanzindustrie; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; BC

1. The Binomial No-Arbitrage Pricing Model 1.1. One-Period Binomial Model 1.2. Multiperiod Binomial Model 1.3. Computational Considerations 1.4. Summary 1.5. Notes 1.6. Exercises 2. Probability Theory on Coin Toss Space 2.1. Finite Probability Spaces 2.2. Random Variables, Distributions, and Expectations 2.3. Conditional Expectations 2.4. Martingales 2.5. Markov Processes 2.6. Summary 2.7. Notes 2.8. Exercises 3. State Prices 3.1. Change of Measure 3.2. Radon-Nikod\\'ym Derivative Process 3.3. Capital Asset Pricing Model 3.4. Summary 3.5. Notes 3.6. Exercises 4. American Derivative Securities 4.1. Introduction 4.2. Non-Path-Dependent American Derivatives 4.3. Stopping Times 4.4. General American Derivatives 4.5. American Call Options 4.6. Summary 4.7. Notes 4.8. Exercises 5. Random Walk 5.1. Introduction 5.2. First Passage Times 5.3. Reflection Principle 5.4. Perpetual American Put: An Example 5.5. Summary 5.6. Notes 5.7. Exercises 6. Interest-Rate-Dependent Assets 6.1. Introduction 6.2. Binomial Model for Interest Rates 6.3. Fixed-Income Derivatives 6.4. Forward Measures 6.5. Futures 6.6. Summary 6.7. Notes 6.8. Exercises Proof of Fundamental Properties of Conditional Expectations References Index

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