Advance Your Understanding of Stochastic Calculus in Finance
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.
Covers essential concepts in stochastic calculus and their applications in finance.
Provides precise statements, plausibility arguments, and intuitive explanations for better understanding.
Explores foreign exchange models, forward measures, and jump-diffusion processes for in-depth knowledge.
Includes exercises at the end of each chapter to reinforce learning and practical application.
Authored by Steven E. Shreve, a renowned figure in computational finance and education.
