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Stochastic Calculus for Finance II: Continuous-Time Models by Steven E. Shreve

Stochastic Calculus for Finance II: Continuous-Time Models Steven E. Shreve ebook
Publisher: Springer
Page: 348
ISBN: 0387401016, 9780387401010
Format: djvu

Stochastic Calculus for Finance II: Continuous-Time Models: v. The book presents an in-depth study of arbitrary one - dimensional continuous strong Markov processes using methods of stochastic calculus . [电子书]Stochastic calculus for finance II.. Program in Computational Finance. Book Name: Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) Author: Steven Shreve Hardcover: 570 pages Publisher: Springer; 1st. This course was required for a Master's degree in Financial Engineering. Shreve, “Stochastic calculus for finance I: The binomial asset pricing model”, and “II: Continuous time models”. Options and term structure models, all in continuous time. Contract Theory in Continuous Time Models. Recently, the problem of optimal investment for an insurer has attracted a lot of attention, due to the fact that the insurer is allowed to invest in financial markets in practice. Thus the compound Poisson process represents the cumulative amount of claims in the time interval . Tags:高三英语 609 次点击. In Hipp and Plum [2], the classical Cramér-Lundberg model is adopted for the risk reserve and the insurer can invest in a risky asset to minimize the ruin probability.