Springer Finance

Springer Finance Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Kliippelberg E. Kopp W. Scha ...

Springer Finance Springer Finance is a programme of books aimed at students, academics, and practitioners working on increasingl ...

Steven E. Shreve Stochastic Calcu I us for Finance II Continuous-Time Models With 28 Figures �Springer ...

Steven E. Shreve Department of Mathematical Sciences Carnegie Mellon University Pittsburgh, PA 15213 USA [email protected] Scan von ...

To my students ...

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Preface Origin of This Text This text has evolved from mathematics courses in the Master of Science in Computational Finance (MS ...

VIII Preface alumni. I take this opportunity to express gratitude to these students and former students by dedicating this work ...

Contents ...

X Contents ...

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1 General Probability Theory. 1.1 Infinite Probability Spaces 1.2 Random Variables and Distributions....................... 1.3 ...

Introduction Background By awarding Harry Markowitz, William Sharpe, and Merton Miller the 1990 Nobel Prize in Economics, the No ...

XVI Introduction stock at a specified price and time). In the period 1979 - 1983, Harrison, Kreps, and Pliska used the general t ...

Introduction XVII Volume I presents many of the same finance applications, but within the simpler context of the discrete-time b ...

XVIII Introduction a continuous-time context in Chapter 8 of Volume II. Chapter 5, Random Walk, explains the reflection principl ...

Introduction XIX With the exceptions noted above, the material in Chapters 1 --6 is fun­ damental for quantitative finance is es ...

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