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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. Master's level students and researchers in mathematical finance and financial engineering will find this book useful.
具體描述
讀後感
a good book on stochastic calculus; really like the way Shreve does/talks math (highly recommend his other prob. books); certain level of math skill/background required
評分a good book on stochastic calculus; really like the way Shreve does/talks math (highly recommend his other prob. books); certain level of math skill/background required
評分如果作为入门的话，显然Okesendal的书或者 Arbitrage Theory in Continuous time甚至John Hull的书都更加适合对随机分析进行入门和直观的理解。 如果仅有概率论基础的话，读此书很容易陷入各种数学推导和难以直观理解的定义里，建议对随机分析一定直观理解之后再读此书好些。
評分在图书馆里偶然看到了它的中译本，翻译的很严肃，很好。 长久以来就有好些想厘清的东西，但大多数同类的书都是互相抄来抄去，没有真正能讲明白，能让不懂的人看懂的。只有它是试图把那些东西放在一起努力给你讲明白，冲作者这份苦心读着就很舒服，感觉就像过了电一样。 ...
評分a good book on stochastic calculus; really like the way Shreve does/talks math (highly recommend his other prob. books); certain level of math skill/background required
用戶評價
寫得超級無敵好！！終於覺得自己學懂瞭啊
评分學數學......
评分有腦子 就可以賺錢
评分看完書後思路各種清晰！
评分It's the bible for math finance people, but not enough if you are really serious about math finance.
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