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Stochastic calculus for finance. 1, Binomial asset pricing model
- Author / Creator
- Available as
- Online
- Summary
-
The contents of this book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of resul...
The contents of this book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausability arguments and even some proofs.
Details
- Creator
- Steven E. Shreve
- Included Title
-
- Binomial asset pricing model
- Format
- Books
- Language
- English
- Publication
-
- London ; New York : Springer, [2004]
- ©2004
- Physical Details
-
- 1 online resource (xv, 187 pages)
- ISBNs
- 9780387225272, 0387225277, 0387401008, 9780387401003, 9780387249681, 0387249680, 0387401008
- OCLC
- ocn883392187
- Includes bibliographical references and index.
- 1 The Binomial No-Arbitrage Pricing Model -- 1.1 One-Period Binomial Model -- 1.2 Multiperiod Binomial Model -- 1.3 Computational Considerations -- 1.4 Summary -- 1.5 Notes -- 1.6 Exercises -- 2 Probability Theory on Coin Toss Space -- 2.1 Finite Probability Spaces -- 2.2 Random Variables, Distributions, and Expectations -- 2.3 Conditional Expectations -- 2.4 Martingales -- 2.5 Markov Processes -- 2.6 Summary -- 2.7 Notes -- 2.8 Exercises -- 3 State Prices -- 3.1 Change of Measure -- 3.2 Radon-Nikodm Derivative Process -- 3.3 Capital Asset Pricing Model -- 3.4 Summary -- 3.5 Notes -- 3.6 Exercises -- 4 American Derivative Securities -- 4.1 Introduction -- 4.2 Non-Path-Dependent American Derivatives -- 4.3 Stopping Times -- 4.4 General American Derivatives -- 4.5 American Call Options -- 4.6 Summary -- 4.7 Notes -- 4.8 Exercises -- 5 Random Walk -- 5.1 Introduction -- 5.2 First Passage Times -- 5.3 Reflection Principle -- 5.4 Perpetual American Put: An Example -- 5.5 Summary -- 5.6 Notes -- 5.7 Exercises -- 6 Interest-Rate-Dependent Assets -- 6.1 Introduction -- 6.2 Binomial Model for Interest Rates -- 6.3 Fixed-Income Derivatives -- 6.4 Forward Measures -- 6.5 Futures -- 6.6 Summary -- 6.7 Notes -- 6.8 Exercises -- Proof of Fundamental Properties of Conditional Expectations -- References