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

This course was required for a Master's degree in Financial Engineering. Tracking provided on most orders. Shreve, Stochastic Calculus for Finance II, Continuous-Time Models. With this normalisation, \sigma^2 basically becomes the amount of variance produced in S_t .. To assume the existence of “risk neutral probability,” there is a relatively short, direct derivation of the Black-Scholes call formula; see Shreve's excellent Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004. (The factor of (dt)^{1/2} is a natural normalisation, required for this model to converge to Brownian motion in the continuous time limit dt \to 0 . Prerequisite: Stochastic Calculus II 46-945, Options 45-814, Simulation Methods for Option Pricing 46-932, Advanced Derivative Modeling 46-915. ISBN13: 9780387401010Condition: USED - Very GoodNotes: 100% Satisfaction Guarantee. Shreve, “Stochastic calculus for finance I: The binomial asset pricing model”, and “II: Continuous time models”. The book presents an in-depth study of arbitrary one - dimensional continuous strong Markov processes using methods of stochastic calculus .