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008			121116s2004 xxu| s |||| 0|eng d
020			_a9780387225272 _9978-0-387-22527-2
082			_a519 _223
100			_aShreve, Steven. _920249
245			_aStochastic Calculus for Finance I _h[electronic resource] : _bThe Binomial Asset Pricing Model / _cby Steven Shreve.
250			_a1st ed. 2004.
260			_aNew York, NY : _bSpringer New York : _bImprint: Springer, _c2004.
300			_aXV, 187 p. _bonline resource.
505			_a1 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			_aStochastic 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			_aSocial sciences-Mathematics. _920250
650			_aMathematics. _920251
650			_aFinance. _920252
650			_aProbabilities. _920253
650			_aMathematics in Business, Economics and Finance. _920254
650			_aApplications of Mathematics. _920255
650			_aFinancial Economics. _920256
650			_aProbability Theory. _920257
856			_uhttps://doi.org/10.1007/978-0-387-22527-2
942			_cEBK
999			_c13622 _d13622