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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Books: Text Books: Finance: Item 8
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)by Steven E. Shreve
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20 of 22 people found the following review helpful: It's right for Finance!, April 23, 2005 Reviewer:Wei Hsien Li "CC" (United States) - In the old time, students in Finance or Financial Engineering who want to study SDE has few choices. Kazartas & Shreves' classic text book is too rigorous and very demanding, it would give readers solid theoretical background, but I think only few readers can really master in those material. That's why books like Oksendal's SDE come into the market, they are easier than Kazartas & Shreve but deeper than many undergrad Financial Mathmetics in theory. Oksendal is easy reading and good for self study; however, it's Finance part is relatively weak. For those Finance or Financial Engineering people, Steele's book fits well, It is right at the level like Oksendal, and root at Finance application. It's story telling style makes it joyful in reading, but bad in reference. Finally we have Shreve's new book. This book is at the level of demanding as Oksendal and Steele's books. You may still need some grad-level mathematics training to understand the stuff well. But unlike other stochastic calculus books, it is designed for Finance field. Finance guy nomatter practitioners or researchers can soon find help they need in this books. Also it is well-organized and with nice writing style. Although the first couple chapters are a little too condense, I still highly appreciate this book.
Book Description
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. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time. Masters level students and researchers 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.
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