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Book Information
Title:
Stochastic calculus for finance
Additional book information:
Springer Finance Textbook Series, in two volumes,
Steven E. Shreve,
Springer, New York,
Vol. I: The binomial asset pricing model,
2005,
x + 187 pages,
$34.95,
ISBN 978-0387-24968-1
;
Vol. II: Continuous-time models,
2004,
x + 550 pages,
$69.95,
ISBN 0-387-40101-6
Title:
Additional book information:
References:
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Bachelier, L. (1900).
Théorie de la Speculation.
Annales Scientifiques de L'École
Normale
Supérieure 3d
ser., 17, 21-88. Translation in The
Random
Character of Stock Market Prices,
ed. Paul Cootner, pp. 17-79. Cambridge,
MA: MIT Press, 1964.
- 2.
-
Black, F. and M. Scholes (1973).
The Pricing of Options and Corporate
Liabilities.
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637-654.
- 3.
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Cox, J., J. Ingersoll, and S. Ross (1985).
A Theory of the Term Structure of Interest
Rates.
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MR
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Cox, J. and S. Ross (1976).
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Cox, J., S. Ross, and M. Rubinstein (1979).
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Delbaen, F. and W. Schachermayer (1999).
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MR
1304434 (95m:90022b)
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Uber die von der Molekularkinetischen
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549-560, Reprinted
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and Convergence.
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MR
838085 (88a:60130)
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Harrison, M. and D. Kreps (1979).
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Securities Markets.
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381-408.
MR
540823 (80h:90025)
- 11.
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Harrison, M. and S. Pliska (1981).
Martingales and Stochastic Integrals
in the Theory of Continuous
Trading.
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Applications 11,
215-260.
MR
622165 (83a:90022)
- 12.
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Itô, K. (1944).
Stochastic Integral.
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Academy of Tokyo 20,
519-524.
MR
0014633 (7:313c)
- 13.
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Itô, K. (1951).
On a Formula Concerning Stochastic Differentials.
Nagoya Mathematics Journal 3,
55-65.
MR
0044063 (13:363g)
- 14.
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Jarrow, R. and P. Protter (2004).
A Short History of Stochastic Integration
and Mathematical Finance:
The Early Years, 1880-1970.
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IMA Lecture Notes 45,
75-91.
MR
2126888 (2006a:60005)
- 15.
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Karatzas, I. and S. Shreve (1998).
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MR
1640352 (2000e:91076)
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Merton, R. (1969).
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Merton, R. (1973).
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and Management Science 4,
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0496534 (58:15058)
- 18.
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Protter, P. (2001).
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169-203.
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1807684 (2001k:91082)
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Protter, P. (2004).
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2020294 (2005k:60008)
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Samuelson, P. (1965a).
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- 21.
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Samuelson, P. (1965b).
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- 22.
-
Shreve, S. (2004).
Stochastic Calculus for Finance
II: Continuous-Time Models.
New York: Springer.
MR
2057928 (2005c:91001)
- 23.
-
Shreve, S. (2005).
Stochastic Calculus for Finance
I: The Binomial Asset-Pricing
Model.
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MR
2049045 (2004m:91003)
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-
Vasicek, O. (1977).
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Differential Space.
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Additional Information:
Reviewer(s):
Darrell
Duffie
Affiliation:
Graduate School of Business, Stanford University, Stanford, California 94305-5015
Review Information:
Journal:
Bull. Amer. Math. Soc.
46
(2009),
165-174.
MSC
(2000):
Primary 60-01, 60H10, 60J65, 91B28.
DOI:
10.1090/S0273-0979-08-01217-2
PII:
S 0273-0979(08)01217-2
Posted:
August 28, 2008
Additional notes:
I am grateful for conversations with Julien Hugonnier and Philip Protter, for decades worth of interesting discussions with Mike Harrison, and also for the patient encouragement of the editor, Bob Devaney.
Copyright of article:
Copyright
2008,
American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.
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