Steven E. Shreve's Books

Methods of Mathematical Finance

By: Ioannis Karatzas,Steven Shreve

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Methods of Mathematical Finance

By: Ioannis Karatzas,Steven Shreve

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.

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Page Count

426

Publisher

Springer

Published Date

ISBN 10

1493968459

ISBN 13

9781493968459

Stochastic Calculus for Finance II

Continuous-Time Models

By: Steven E. Shreve

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Stochastic Calculus for Finance II

Continuous-Time Models

By: Steven E. Shreve

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

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586

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Springer Science & Business Media

Published Date

ISBN 10

0387401016

ISBN 13

9780387401010

Stochastic Optimal Control: The Discrete-Time Case

By: Dimitri Bertsekas,Steven E. Shreve

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Stochastic Optimal Control: The Discrete-Time Case

By: Dimitri Bertsekas,Steven E. Shreve

This research monograph, first published in 1978 by Academic Press, remains the authoritative and comprehensive treatment of the mathematical foundations of stochastic optimal control of discrete-time systems, including the treatment of the intricate measure-theoretic issues. It is an excellent supplement to the first author's Dynamic Programming and Optimal Control (Athena Scientific, 2018). Review of the 1978 printing:"Bertsekas and Shreve have written a fine book. The exposition is extremely clear and a helpful introductory chapter provides orientation and a guide to the rather intimidating mass of literature on the subject. Apart from anything else, the book serves as an excellent introduction to the arcane world of analytic sets and other lesser known byways of measure theory." Mark H. A. Davis, Imperial College, in IEEE Trans. on Automatic Control Among its special features, the book: 1) Resolves definitively the mathematical issues of discrete-time stochastic optimal control problems, including Borel models, and semi-continuous models 2) Establishes the most general possible theory of finite and infinite horizon stochastic dynamic programming models, through the use of analytic sets and universally measurable policies 3) Develops general frameworks for dynamic programming based on abstract contraction and monotone mappings 4) Provides extensive background on analytic sets, Borel spaces and their probability measures 5) Contains much in depth research not found in any other textbook

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Page Count

336

Publisher

Athena Scientific

Published Date

ISBN 10

1886529035

ISBN 13

9781886529038

Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

By: Steven Shreve

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Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

By: Steven Shreve

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

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212

Publisher

Springer Science & Business Media

Published Date

ISBN 10

0387249680

ISBN 13

9780387249681

Brownian Motion and Stochastic Calculus

By: Ioannis Karatzas,Steven Shreve

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Brownian Motion and Stochastic Calculus

By: Ioannis Karatzas,Steven Shreve

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.

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Page Count

490

Publisher

Springer

Published Date

ISBN 10

1461209498

ISBN 13

9781461209492

Stochastic Calculus for Finance II

Continuous-Time Models

By: Steven E. Shreve

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Stochastic Calculus for Finance II

Continuous-Time Models

By: Steven E. Shreve

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586

Publisher

Springer Science & Business Media

Published Date

ISBN 10

0387401016

ISBN 13

9780387401010

Book's by Steven E. Shreve

Methods of Mathematical Finance

Methods of Mathematical Finance

Stochastic Calculus for Finance II

Stochastic Calculus for Finance II

Stochastic Optimal Control: The Discrete-Time Case

Stochastic Optimal Control: The Discrete-Time Case

Stochastic Calculus for Finance I

Stochastic Calculus for Finance I

Brownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus

Stochastic Calculus for Finance II

Stochastic Calculus for Finance II

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