E-Book Overview
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.
E-Book Content
Springer Finance
Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. D e m n C. Kliippelberg E. Kopp W. Schachermayer
Springer Finance Springer Finance is a programme of books aimed at students, academics, and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
M. A m n n , Credit Risk Valuation: Methods, Models, and Applications (2001) E. Batucci. Financial Markets Theory: Equilibrium, Efficiency and Information (2003) N.H. Bingham and R. Kiesel. Risk-Neub-al Valuation: Pricing and Hedging of Financial Derivative