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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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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

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Product Description

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

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