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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) | 
 enlarge | Author: Steven E. Shreve
Publisher: Springer
Category: Book
List Price: $34.95
Buy New: $26.22
You Save: $8.73 (25%)
New (38) Used (10) from $22.99
Rating:  15 reviews
Sales Rank: 10235
Media: Paperback
Edition: 1
Pages: 187
Number Of Items: 1
Shipping Weight (lbs): 0.7
Dimensions (in): 9.1 x 5.9 x 0.6
ISBN: 0387249680
Dewey Decimal Number: 511
EAN: 9780387249681
Publication Date: June 28, 2005
Availability: Usually ships in 1-2 business days
Shipping: International shipping available
Condition: NEW BOOK
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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.
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| Customer Reviews: Read 10 more reviews...
 One of the best! December 3, 2004
Robert J. Frey (Stony Brook, NY)
18 out of 20 found this review helpful
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.
Very good to understand the basics of pricing-theory. March 4, 2006
Miguel Garcia (Spain)
6 out of 6 found this review helpful
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.
A gentle introduction November 25, 2005
Hobbes (Germany)
10 out of 10 found this review helpful
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.
Great for beginers in stochatic claculus with a simple apication to finance August 2, 2005
Leon De PAUL MARTINEZ
7 out of 7 found this review helpful
This book is great to start understanding stochastic calculus with immediate application to pricing derivatives. To make everything simpler, all is explained on a discrete basis. This helps a lot to understand the subject and prepares the reader for the second course in which everything is converted into continues basis.
It also helps very much to understand how to price a derivative through portfolio that replicates it (Non-arbitrage principle).
Great book June 5, 2005
A Reader (Massachusetts)
8 out of 9 found this review helpful
I think the reviewer below who gave it one star seems biased and has an attitude. I would invite this reviewer to right a book half as good as this book. Personally, for me this book explained a lot of materials without having to master the more advanced measure theory and probability concepts. As a first introduction to the stocahstic calculus applications in finance, I highly recommend this book. And yes, I was always a big fan of Shreve's lecture notes on the net. They are the best.
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