Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

  • Steven E. Shreve

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XV
  2. Steven E. Shreve
    Pages 1-23
  3. Steven E. Shreve
    Pages 25-60
  4. Steven E. Shreve
    Pages 61-87
  5. Steven E. Shreve
    Pages 89-117
  6. Steven E. Shreve
    Pages 119-142
  7. Steven E. Shreve
    Pages 143-176
  8. Back Matter
    Pages 177-187

About this book


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 stchastic 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.


Arbitrage Finance Measure Probability space Probability theory Random variable Sage Stochastic calculus

Authors and affiliations

  • Steven E. Shreve
    • 1
  1. 1.Department of Mathematical SciencesCarnegie Mellon UniversityPittsburghUSA

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag New York 2004
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-0-387-24968-1
  • Online ISBN 978-0-387-22527-2
  • Series Print ISSN 1616-0533
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking