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Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. Most of the ideas presented rely on intuition and basic principles, rather than technical computations.

Finance. --- Stochastic analysis. --- Finances --- Analyse stochastique --- Finance --- Stochastic analysis --- AA / International- internationaal --- 305.91 --- 332.0151922 --- Analysis, Stochastic --- Mathematical analysis --- Stochastic processes --- Funding --- Funds --- Economics --- Currency question --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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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 stchastic 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. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume. Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance. Advanced undergraduates and Masters level students 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.

-332.0151922 --- 519.86 --- 336.7 --- AA / International- internationaal --- 305.970 --- 305.91 --- 305.7 --- 336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- 519.86 Theory of economic-mathematical models --- Theory of economic-mathematical models --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente. --- Stochastic processes --- Finance --- Stochastic analysis --- Analysis, Stochastic --- Mathematical analysis --- Funding --- Funds --- Economics --- Currency question --- Mathematical models --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Finances --- Analyse stochastique --- Textbooks --- Modèles mathématiques --- Manuels --- Textbooks. --- Economics, Mathematical . --- Applied mathematics. --- Engineering mathematics. --- Finance. --- Probabilities. --- Quantitative Finance. --- Applications of Mathematics. --- Finance, general. --- Probability Theory and Stochastic Processes. --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Engineering --- Engineering analysis --- Mathematical economics --- Econometrics --- Methodology --- Finance - Mathematical models - Textbooks --- Stochastic analysis - Textbooks --- Mathématique appliquée --- Probabilités --- Théorie financière