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