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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) (v. 1)
 
 
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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) (v. 1) [Paperback]

Steven E. Shreve (Author)
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Product 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. 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.

Product Details

  • Paperback: 187 pages
  • Publisher: Springer; 1 edition (June 28, 2005)
  • Language: English
  • ISBN-10: 0387249680
  • ISBN-13: 978-0387249681
  • Product Dimensions: 9.1 x 5.9 x 0.6 inches
  • Shipping Weight: 10.4 ounces (View shipping rates and policies)
  • Average Customer Review: 4.4 out of 5 stars  See all reviews (16 customer reviews)
  • Amazon Bestsellers Rank: #30,983 in Books (See Top 100 in Books)

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Steve E. Shreve
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
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Inside This Book (learn more)
First Sentence:
The binomial asset-pricing model provides a powerful tool to understand arbitrage pricing theory and probability. Read the first page
Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
first time the stock price, first coin toss results, iterated conditioning, multiperiod binomial model, actual probability measure, first toss results, derivative security whose payoff, second toss results, discounted stock price, optimal exercise time, coin tosses result, optimal exercise policy, possible stock prices, initial stock price, two coin tosses, expected discounted payoff, symmetric random walk, state price density, lookback option, wealth equation, finite probability space, pricing algorithm, stock price process, hedging portfolio, replicating portfolio
Key Phrases - Capitalized Phrases (CAPs): (learn more)
Exercises Exercise, Optional Sampling Theorem
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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) (v. 1)
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) (v. 2)
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) (v. 2) by Steven E. Shreve Hardcover 4.4 out of 5 stars (28)
$60.14
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16 Reviews
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4.4 out of 5 stars (16 customer reviews)
 
 
 
 
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24 of 27 people found the following review helpful:
5.0 out of 5 stars One of the best!, December 3, 2004
This review is from: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Hardcover)
It would be hard to overstate my enthusiasm for this text and its companion volume. In field that is too frequently represented by poorly thought out drafts rushed to market or by advanced mathematical treatments that are not easily understood by individuals more focused on practice, Shreve's texts stand out by being both rigorous and accessible with well thought out examples and exercises.

This particular volume, covering binomial models, covers advanced concepts in a discrete setting. For some it will represent a waste of time and those individuals are best advised to skip to Volume II. However, many intelligent students who are not so comfortable with abstract mathematics will find this a simple and concrete exposition that can serve as a bridge to more advanced theory.
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13 of 14 people found the following review helpful:
5.0 out of 5 stars A gentle introduction, November 25, 2005
This review is from: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Hardcover)
I am always a fan of books that can simplify advanced concepts instead of drowning the reader in rigour. Shreve's introduction to probablistic asset pricing is gentle, covering basic stochastic processes, the concepts behind derivative pricing and hedging, as well as setting up the reader for subsequent readings. It's one of those books that you come back to when you are stuck with a problem from a conceptual point of view because things are explained in the book at an intuitive level.
All in all, a good foundation book or reference for starting quants.
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6 of 6 people found the following review helpful:
5.0 out of 5 stars Very good to understand the basics of pricing-theory., March 3, 2006
This review is from: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Hardcover)
This book is great book about theory. Using a simple binomial tree as asset evolution model, all key notions are introduced. Neutral-risk probabilities come up in a simple, natural way, and I never found such a clear explanation of the the change of measure and its meaning in finances. Examples help to understand every ussue.

The only case in which you should not buy it: if you are looking for real-market instruments and techniques.
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Most Recent Customer Reviews

5.0 out of 5 stars Excellent introduction to option privcing
Shreve's book is an excellent introduction to basic options pricing. He not only deals with plain vanilla options, but also shows how the binomial model can be used to to value... Read more
Published 14 months ago by J. Christensen

5.0 out of 5 stars Best SC book ever
I have the 1st version (pdf), so I hesitated before I make the purchase. Now it turns out that the book is worthy every buck.

1. Read more
Published on April 4, 2008 by Lost in Life

3.0 out of 5 stars Good book
excellent book for anybody who is a student of financial calculus . One can get some insight into how financial managers plan portfolios and how they make investment decisions.
Published on February 17, 2008 by Ken

4.0 out of 5 stars Great intro for discrete-time models
I studied this book for the first half of a fourth year financial maths subject at univerisity of melbourne. Read more
Published on February 5, 2008 by C. Yang

5.0 out of 5 stars fantabulous!!!
i have read so many books on financial engineering but this one makes all theories so streamlined!!! I read Neftci and I liked it. Read more
Published on January 17, 2008 by Karun Gahlawat

5.0 out of 5 stars Great balance between technical and intuitive
This book seemed to strike the perfect balance between going through the necessary math and getting the points across without pushing the non-PhD reader overboard. Read more
Published on December 18, 2007 by Brian Hirschfield

4.0 out of 5 stars Good book
I agree that most concepts are clearly explained....emphasis on *most*. OK, I'll nitpick. And I admit I'm nitpicking. Read more
Published on October 1, 2007 by J. Leichter

4.0 out of 5 stars Nice book
I think its a very good book for fundamental concepts in stocastic calculus.
Published on March 8, 2007 by A. Pawar

5.0 out of 5 stars Good for finanical mathematics graduates
clear explanations on binomial models for European and American options. Abstract concepts also included such as change of measures, martingales, stopping times. Read more
Published on January 9, 2007 by Ching Wah Ho

4.0 out of 5 stars Interesting Read
I found this book to be a very interesting and fun read. A very helpful introduction to binomimal models and basic stopping time principals. Read more
Published on February 16, 2006 by D. Andreoni

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