Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) by Steven Shreve (PDF)

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

User’s Reviews

Editorial Reviews: Review From the reviews of the first edition:”Steven Shreve’s comprehensive two-volume Stochastic Calculus for Finance may well be the last word, at least for a while, in the flood of Master’s level books…. a detailed and authoritative reference for “quants” (formerly known as “rocket scientists”). The books are derived from lecture notes that have been available on the Web for years and that have developed a huge cult following among students, instructors, and practitioners. The key ideas presented in these works involve the mathematical theory of securities pricing based upon the ideas of classical finance….the beauty of mathematics is partly in the fact that it is self-contained and allows us to explore the logical implications of our hypotheses. The material of this volume of Shreve’s text is 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 is accessible to a broad audience and has been developed after years of teaching the subject. It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance.” (SIAM, 2005)”The contents of the book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise Statements of results, plausibility arguments, and even some proofs. But more importantly, intuitive explanations, developed and refine through classroom experience with this material are provided throughout the book.” (Finanz Betrieb, 7:5, 2005)”The origin of this two volume textbook are the well-known lecture notes on Stochastic Calculus … . The first volume contains the binomial asset pricing model. … The second volume covers continuous-time models … . This book continues the series of publications by Steven Shreve of highest quality on the one hand and accessibility on the other end. It is a must for anybody who wants to get into mathematical finance and a pleasure for experts … .” (www.mathfinance.de, 2004)”This is the latter of the two-volume series evolving from the author’s mathematics courses in M.Sc. Computational Finance program at Carnegie Mellon University (USA). The content of this book is organized such as to give the reader precise statements of results, plausibility arguments, mathematical proofs and, more importantly, the intuitive explanations of the financial and economic phenomena. Each chapter concludes with summary of the discussed matter, bibliographic notes, and a set of really useful exercises.” (Neculai Curteanu, Zentralblatt MATH, Vol. 1068, 2005) From the Back Cover Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master’s program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.Masters level students and researchers in mathematical finance and financial engineering will find this book useful.Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education. About the Author Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education. Read more

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐So after trying to learn this subject from other sources (Evans, Klebaner, and perhaps a couple of others I cannot recall) I have determined that this is probably the only actual textbook that makes this subject understandable. The subject IS hard, there is no way around that, but Shreve is a master at explaining and reiterating ideas when he thinks that the reader might need it. You’re still gonna spend hours/days between a page or two, but there’s always progress being made. Even if something feels “iffy” that’s the worst that you’ll feel. Nothing from this book will ever make you feel like you don’t have ANY understanding. For instance, the introduction of the Lebesgue integral was actually very simple and understandable. Something that you’ll probably get no where else.A lot of other authors place unrealistic expectations/prerequisites on the reader stating that “probability and calculus” is all that’s required to read their book, while it would be near impossible for a student that ONLY has probability and calculus under their belt to understand the sophistication, notation, etc. (mathematical maturity is required to see something purely in mathematical terms and understand it). Shreve states that calculus and probability based calculus is all that’s required to read this text, and I do not think probability is even required (although I heavily recommend it)! If you have taken any course on probability and statistics, it should be sufficient. If not then you should still be able to read the text. You may struggle some through the exercises though and if you’re learning the material for fun then it doesn’t matter anyways. If you do not have any previous knowledge of probability then I would recommend that you have a probability book near by for reference (There are many great probability books, Taboga is a great reference.)If you are weak mathematically or have not seen probability in a while (like I had not) then Mikosch is a great prerequisite to the subject. Mikosch has no exercises, is simple, straightforward and can even be read in a few days. Even if you do not read Mikosch, Shreve is great. For other texts on the subject I would say that Mikosch is mandatory reading.I 100% recommend this book to anyone trying to learn the subject, you will not regret it. Also there are no solutions in the text, but just do a quick search and you’ll find several manuals online. This text is gold in the set of all Stochastic Calculus textbooks where most everything else is garbage.UPDATE: I have been reading Calin’s text for months now and it might be better than this one if you are struggling/not mathematically inclined. If you are struggling, then I recommend that you have this book, Mikosch, and Calin. I frequently reference Shreve and Mikosch as I have made Calin’s text my primary book on the subject. Good luck on your journey!

⭐I am a mathematics graduate degree student and I had to study this book along with volume 1 of this book. Those two books are by all means and measure the worst mathematic books ever written. The way the author wrote the books is vague. They are so theoretical. The author based his work on laying theory after theory, there is almost zero examples with in the sections, and when there is one, it introduces new ideas. Even the exercises at the end of each chapter are very difficult that all the student in my class just copied the solution manual. The exercises sometimes introduces new idea that have not been covered in the book and the student have to search them up.I am blaming the author solely because the topics considered in both boos, volume 1 & 2, are well researched topics in other areas of studies like Statistics and Engineering; however, the author didn’t bother to make his books stand alone books.The only way to study the book and understand it is actually by studying the topics in other books then coming back to this book and trying to connect the dots. I would say if you are NOT a student, don’t waste your time on this book at all, you will not only loose your money, you will also lose your time and effort. You are better off in searching the topics online !! I would prefer reding an advanced probability book or applied statistic book along with a book in stochastic calculus.And for the Finance part, this book has almost zero applications in Finance, I don’t even know why it is classified as financial math book, you would probably find a couple of finance problem in the whole book.In summary, the book so disconnected in the topics, the author does not consider his main audience being student that he must explain the topics more and add examples and more exercises and probably some solved exercises as well. At best, this book could be a publication paper were the author don’t care about the readers background and doesn’t care about explaining the topics as good as what other book authors does.

⭐Every time I tried any other finance literature, I end up realizing Shreve’s book is the only one that tell you all the truth. After analyzing some other alternatives out there, one should wonder whether all this math are necessary or not. Hull’s and Wilmott’s books give you a good amount of intuition and honest rules in order to avoid the fundamental theory behind stochastic calculus. Kerry Back and Thomas Mikosch, on the other hand, do not fear showing the math, but instead they give much more insight about the pricing theory without proving the most technical results. Finally, Shreve’s books will tell you everything you need to know in order to master stochastic calculus. It’s clear, very well written and cover every tiny subtle aspect underlying the theory. The only issue is: This is a Math book that frequently remembers it’s solving finance problems, but it never forgets it’s doing serious math.So, in my opinion, if you have strong knowledge in calculus and a good amount in probability, you should definitely try Shreve’s books. Depending on your math background, it will hurt more or less. It hurt me a lot reading this book, but it is like any classical literature. The more you read, more you understand.And if you don’t love math, books like Hull’s will give you enough for your finance works.

⭐Very good introduction to stochastics for finance, espcially for self-study. Can be an advanced topic and Shreve builds up the concepts pretty well without getting too carried away. You can consider the below 4 chapters comprising of about 250 pages to be the main foundation of the book. The later chapters ( change in Numeraire ) are a nice complement to the earlier chapters, and includes a decent introduction to IR models.3 – Brownian motion4 – Stochastic Calculus5 – Risk-Neutral Pricing6 – Connections with PDEsThis book is less technical than Björk, but Björk builds the subject with a wider scope, with both books complementing each other.

⭐Good explanation of continuous time finance but could have been explained far more concisely. Not fully relevant for modern financial markets as it usually assumes positive interest rate processes. Too lengthy with the wording: more symbols and less words would help with clarity.

⭐Very easy to read compared with other graduate texts.

⭐great book, digested almost everything as the material is very logically structured

⭐It was a Christmas present – believe it or not!! It arrived as described on Christmas eve – yeah!!!

Keywords

Free Download Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) in PDF format
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) PDF Free Download
Download Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) 2010 PDF Free
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) 2010 PDF Free Download
Download Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) PDF
Free Download Ebook Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)