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Home > Financial Information Sources > Mathematical Finance > Stochastic Calculus for Finance II: Continuous-Time Models

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Stochastic Calculus for Finance II: Continuous-Time Models

Steven E. Shreve
2nd Edition
Springer Finance Series
New York: Springer, 2008
550pp, ISBN: 978-0-387-40101-0

The second volume in this respected and comprehensive two-volume work examines continuous-time models, and the key ideas in the mathematical theory of securities pricing based upon the ideas of classical finance. It includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties, as well as technical topics including foreign exchange models, forward measures, and jump-diffusion processes.

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