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Steven Shreve: Stochastic Calculus and Finance

11 years 5 months ago
Steven Shreve: Stochastic Calculus and Finance
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pricing, The Markov Property, Stopping Times and American Options, Stopping Times and American Options, Properties of American Derivative Securities, Jensen’s Inequality, RandomWalks, Pricing in terms ofMarket Probabilities: The Radon-Nikodym Theorem., Capital Asset Pricing, General Random Variables, Semi-Continuous Models, BrownianMotion, The Itˆo Integral, Itˆo’s Formula, Markov processes and the Kolmogorov equations, Girsanov’s theorem and the risk-neutral measure, Martingale Representation Theorem, A two-dimensional market model, Pricing Exotic Options, Asian Options, Summary of Arbitrage Pricing Theory, Recognizing a BrownianMotion An outside barrier option, American Options, Options on dividend-paying stocks Bonds, forward contracts and futures, Term-structure models, Gaussian processes Hull an...
Prasad Chalasani, Somesh Jha
Added 17 Jan 2009
Updated 14 Aug 2009
Authors Prasad Chalasani, Somesh Jha
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