MARC details
| 000 -LEADER |
|---|
| fixed length control field |
03843nmm a22002895i 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20230705150633.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
121116s2004 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9780387225272 |
| -- |
978-0-387-22527-2 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519 |
| Edition number |
23 |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Shreve, Steven. |
| 9 (RLIN) |
20249 |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Stochastic Calculus for Finance I |
| Medium |
[electronic resource] : |
| Remainder of title |
The Binomial Asset Pricing Model / |
| Statement of responsibility, etc. |
by Steven Shreve. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
1st ed. 2004. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Place of publication, distribution, etc. |
New York, NY : |
| Name of publisher, distributor, etc. |
Springer New York : |
| -- |
Imprint: Springer, |
| Date of publication, distribution, etc. |
2004. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XV, 187 p. |
| Other physical details |
online resource. |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
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-Nikodým 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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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 stchastic 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Social sciences-Mathematics. |
| 9 (RLIN) |
20250 |
|
|---|
| Topical term or geographic name entry element |
Mathematics. |
| 9 (RLIN) |
20251 |
|
|---|
| Topical term or geographic name entry element |
Finance. |
| 9 (RLIN) |
20252 |
|
|---|
| Topical term or geographic name entry element |
Probabilities. |
| 9 (RLIN) |
20253 |
|
|---|
| Topical term or geographic name entry element |
Mathematics in Business, Economics and Finance. |
| 9 (RLIN) |
20254 |
|
|---|
| Topical term or geographic name entry element |
Applications of Mathematics. |
| 9 (RLIN) |
20255 |
|
|---|
| Topical term or geographic name entry element |
Financial Economics. |
| 9 (RLIN) |
20256 |
|
|---|
| Topical term or geographic name entry element |
Probability Theory. |
| 9 (RLIN) |
20257 |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="https://doi.org/10.1007/978-0-387-22527-2">https://doi.org/10.1007/978-0-387-22527-2</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Koha item type |
e-Book |
