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Stochastic Calculus for Finance I, Shreve


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Цена: 5142р.
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Автор: Shreve
Название:  Stochastic Calculus for Finance I   (Шрев: Стохастическое исчисление для финансовых расчетов)
Издательство: Springer
Классификация:
Финансы
Вероятность и статистика
Прикладная математика

ISBN: 0387401008
ISBN-13(EAN): 9780387401003
ISBN: 0-387-40100-8
ISBN-13(EAN): 978-0-387-40100-3
Обложка/Формат: Hardback
Страницы: 223
Вес: 0.466 кг.
Дата издания: 03.06.2004
Серия: Springer finance / springer finance textbooks
Язык: ENG
Издание: 2004 ed.
Иллюстрации: 33 black & white illustrations, 33 black & white l
Размер: 24.38 x 15.34 x 1.50 cm
Читательская аудитория: Tertiary education (us: college)
Подзаголовок: The binomial asset pricing model
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Германии
Описание: Based on a two-semester course sequence in the Master`s program in Computational Finance at Carnegie Mellon. This book gives statements of results, plausibility arguments, and some proofs. But more importantly, it provides intuitive explanations, which are developed and refined through classroom experience with this material.
Дополнительное описание: Формат: 235x155
Илюстрации: 33
Круг читателей: Advanced undergraduate and beginning graduate students in Financial Engineering; quantitative analysts in the Financial Industry
Ключевые слова: financial engineering
derivative securities
stochastic calculus
Язык: eng
Оглавление: 1. The Binomial No-Arbitrage Pricing Model1.1. One-Period Binomial Model1.2. Multiperiod Binomial Model1.3. Computational Considerations1.4. Summary1.5. Notes1.6. Exercises2. Probability Theory on Coin Toss Space2.1. Finite Probability Spaces2.2. Random Variables, Distributions, and Expectations2.3. Conditional Expectations2.4. Martingales2.5. Markov Processes2.6. Summary2.7. Notes2.8. Exercises3. State Prices3.1. Change of Measure3.2. Radon-Nikod\'ym Derivative Process3.3. Capital Asset Pricing Model3.4. Summary3.5. Notes3.6. Exercises4. American Derivative Securities4.1. Introduction4.2. Non-Path-Dependent American Derivatives4.3. Stopping Times4.4. General American Derivatives4.5. American Call Options4.6. Summary4.7. Notes4.8. Exercises5. Random Walk5.1. Introduction5.2. First Passage Times5.3. Reflection Principle5.4. Perpetual American Put: An Example5.5. Summary5.6. Notes5.7. Exercises6. Interest-Rate-Dependent Assets6.1. Introduction6.2. Binomial Model for Interest Rates6.3. Fixed-Income Derivatives6.4. Forward Measures6.5. Futures6.6. Summary6.7. Notes6.8. ExercisesProof of Fundamental Properties of Conditional ExpectationsReferencesIndex





      Новое издание
Stochastic Calculus for Finance I

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387249680 ISBN-13(EAN): 9780387249681
Издательство: Springer
Цена: 3735 р.
Наличие на складе: Есть у поставщикаПоставка под заказ.
Описание: 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.


Principles of Corporate Finance 12 edition

Автор: Brealey
Название: Principles of Corporate Finance 12 edition
ISBN: 1259253333 ISBN-13(EAN): 9781259253331
Издательство: McGraw-Hill
Рейтинг:
Цена: 4807 р.
Наличие на складе: Нет в наличии.

Описание: Designed to help improve student performance, meaning that students are prepared for class and can successfully solve problems and analyse the results, this title provides opportunities for students to practice solving financial problems and apply what they`ve learned.

Introductory Econometrics for Finance

Автор: Brooks
Название: Introductory Econometrics for Finance
ISBN: 1107661455 ISBN-13(EAN): 9781107661455
Издательство: Cambridge Academ
Рейтинг:
Цена: 5203 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

Core principles and applications of Corporate Finance, global edition

Автор: Ross Stephen
Название: Core principles and applications of Corporate Finance, global edition
ISBN: 0071221166 ISBN-13(EAN): 9780071221160
Издательство: McGraw-Hill
Рейтинг:
Цена: 5224 р.
Наличие на складе: Есть (1 шт.)
Описание: Conveys important corporate finance concepts and applications. This text distills the subject of corporate finance down to its core, while also maintaining a decidedly modern approach.

Stochastic Calculus of Variations in Mathematical Finance

Автор: Malliavin
Название: Stochastic Calculus of Variations in Mathematical Finance
ISBN: 3540434313 ISBN-13(EAN): 9783540434313
Издательство: Springer
Рейтинг:
Цена: 8414 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.

Stochastic Calculus and Differential Equations for Physics and Finance

Автор: Joseph L. McCauley
Название: Stochastic Calculus and Differential Equations for Physics and Finance
ISBN: 0521763401 ISBN-13(EAN): 9780521763400
Издательство: Cambridge Academ
Рейтинг:
Цена: 10720 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker–Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman–Kolmogorov and Fokker–Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.

Stochastic Calculus for Finance I

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387249680 ISBN-13(EAN): 9780387249681
Издательство: Springer
Рейтинг:
Цена: 3735 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: 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.

Levy processes and stochastic calculus

Автор: Applebaum, David
Название: Levy processes and stochastic calculus
ISBN: 0521738652 ISBN-13(EAN): 9780521738651
Издательство: Cambridge Academ
Рейтинг:
Цена: 7285 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: L?vy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of L?vy processes, then leading on to develop the stochastic calculus for L?vy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for L?vy processes to have finite moments; characterisation of L?vy processes with finite variation; Kunita's estimates for moments of L?vy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general L?vy processes; multiple Wiener-L?vy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for L?vy-driven SDEs.

Problems and Solutions in Mathematical Finance: Volume I - Stochastic Calculus

Автор: Chin Eric, Olafsson Sverrir, Nel Dian
Название: Problems and Solutions in Mathematical Finance: Volume I - Stochastic Calculus
ISBN: 1119965837 ISBN-13(EAN): 9781119965831
Издательство: Wiley
Рейтинг:
Цена: 4179 р.
Наличие на складе: Нет в наличии.

Описание: Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four–volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. This book takes a dual approach using stochastic calculus to develop partial differentiation equations for pricing options and also constructs probability measures via martingale theory so that option prices can be expressed as expectations. Each chapter begins with an introduction to the fundamentals and the essential definitions and explanations needed to solve the subsequent problems. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

Brownian Motion and Stochastic Calculus

Автор: Karatzas
Название: Brownian Motion and Stochastic Calculus
ISBN: 0387976558 ISBN-13(EAN): 9780387976556
Издательство: Springer
Рейтинг:
Цена: 4670 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

Introduction to Stochastic Calculus for Finance / A New Didactic Approach

Автор: Sondermann Dieter
Название: Introduction to Stochastic Calculus for Finance / A New Didactic Approach
ISBN: 3540348360 ISBN-13(EAN): 9783540348368
Издательство: Springer
Рейтинг:
Цена: 8882 р.
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Описание: The large number of already available textbooks on stochastic calculus with specific applications to finance requires a justification for another contribution to this subject. The justifcation is mainly pedagogical. These lecture notes start with an elementary approach to stochastic calculus due to FГ¶llmer, who showed that one can develop Ito's calculus "pathwise" as an exercise in real analysis. The text opens to students interested in finance a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model. The reader is supposed only to be familiar with elementary real analysis (e.g. Taylor's Theorem) and basic probability theory. The text is also useful for mathematicians interested in the methods of modern mathematical finance without prior knowledge of advanced stochastic analysis.

From Stochastic Calculus to Mathematical Finance / The Shiryaev Festschrift

Автор: Kabanov Yu., Lipster R., Stoyanov J.
Название: From Stochastic Calculus to Mathematical Finance / The Shiryaev Festschrift
ISBN: 3540307826 ISBN-13(EAN): 9783540307822
Издательство: Springer
Цена: 7475 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included.The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.

Stochastic Calculus for Finance II

Автор: Shreve
Название: Stochastic Calculus for Finance II
ISBN: 144192311X ISBN-13(EAN): 9781441923110
Издательство: Springer
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Цена: 5138 р.
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Описание: "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.


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