Book:Steven E. Shreve/Stochastic Calculus for Finance II: Continuous-Time Models

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

Published $\text {2008}$, Springer

Subject Matter

• Stochastic Calculus

Contents

Introduction

1: General Probability Theory

2: Information and Conditioning

3: Brownian Motion

4: Stochastic Calculus

5: Risk-Neutral Pricing

6: Connections with Partial Differential Equations

7: Exotic Options

8: American Derivative Securities

9: Change of Numéraire

10: Term-Structure Models

11: Introduction to Jump Processes

Appendix A: Advanced Topics in Probability

Appendix B: Existence of Conditional Expectations

Appendix C: Completion of the Proof of the Second Fundamental Theorem of Asset Pricing

References

Index