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2004, ISBN: 9780387401003
The Binomial Asset Pricing Model, Buch, Hardcover, 2004 ed. Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering … Más…
2004, ISBN: 9780387401003
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S.Has been tested in the classroom and revi… Más…
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Detalles del libro - Stochastic Calculus for Finance I
EAN (ISBN-13): 9780387401003
ISBN (ISBN-10): 0387401008
Tapa dura
Tapa blanda
Año de publicación: 2004
Editorial: Springer-Verlag New York Inc.
187 Páginas
Peso: 0,445 kg
Idioma: eng/Englisch
Libro en la base de datos desde 2007-02-25T14:36:18+01:00 (Madrid)
Página de detalles modificada por última vez el 2024-02-24T05:14:22+01:00 (Madrid)
ISBN/EAN: 9780387401003
ISBN - escritura alterna:
0-387-40100-8, 978-0-387-40100-3
Mode alterno de escritura y términos de búsqueda relacionados:
Autor del libro: shreve steven, carnegie, springer
Título del libro: springer, stochastic calculus finance binomial asset pricing model, binomi, calculus the, stochastic calculus for finance models
Datos del la editorial
Autor: Steven Shreve
Título: Springer Finance; Springer Finance Textbooks; Stochastic Calculus for Finance I - The Binomial Asset Pricing Model
Editorial: Springer; Springer US
187 Páginas
Año de publicación: 2004-04-21
New York; NY; US
Idioma: Inglés
64,19 € (DE)
65,99 € (AT)
71,00 CHF (CH)
Available
XV, 187 p.
BB; Hardcover, Softcover / Mathematik/Sonstiges; Angewandte Mathematik; Verstehen; Arbitrage; Finance; Measure; Probability space; Probability theory; Random variable; Sage; Stochastic calculus; quantitative finance; Mathematics in Business, Economics and Finance; Applications of Mathematics; Financial Economics; Probability Theory; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Finanzenwesen und Finanzindustrie; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; BC
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-Nikodým 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.Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Includes supplementary material: sn.pub/extras Request lecturer material: sn.pub/lecturer-material
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