Autor: Steven Shreve

This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore sto …

Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of thes …

This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal …

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 wit …