Continuous-Time Models deals with the application of stochastic calculus in financial mathematics. The textbook is written by Steven Shreve and is aimed at students and researchers in mathematical finance and financial engineering. The content is developed from the Carnegie Mellon Professional Master's program in Computational Finance.
Contents
This second volume covers stochastic calculus, martingales, risk-neutral valuation, exotic options, and term-structure models of interest rates within continuous time. The book includes a self-contained discussion of the probability theory required, including Brownian motion and advanced topics such as foreign exchange models and jump-diffusion processes. The text is suitable for readers with knowledge of calculus and calculus-based probability.
Product specifications
- Author: Steven Shreve
- Series: Springer Finance
- Publisher: Springer-Verlag New York Inc.
- Publication date: 2004-06-03
- Number of pages: 550
- ISBN: 9780387401010
- Subject: Finance and the finance industry
- BISAC: BUSINESS & ECONOMICS / Finance / General
About the author
Steven E. Shreve is a cofounder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for his teaching contributions.