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Stochastic Calculus for Finance II: Continuous-Time Models by Steven E. Shreve

Stochastic Calculus for Finance II: Continuous-Time Models Steven E. Shreve ebook
Format: djvu
Page: 348
Publisher: Springer
ISBN: 0387401016, 9780387401010

Stochastic Differential Equations, An Introduction with Applications, 5th edition. The book presents an in-depth study of arbitrary one - dimensional continuous strong Markov processes using methods of stochastic calculus . Stochastic Calculus for Finance II: Continuous-Time Models book download Steven E. Basic intuition In Volume II, the author introduces all the concepts needed to build a financial model in continuous-time. Thus the compound Poisson process represents the cumulative amount of claims in the time interval . Recently, the problem of optimal investment for an insurer has attracted a lot of attention, due to the fact that the insurer is allowed to invest in financial markets in practice. Stochastic Calculus For Finance II: Continuous-Time Models (Springer Finance) Steven E. Good book to read after getting a quant job. In Hipp and Plum [2], the classical Cramér-Lundberg model is adopted for the risk reserve and the insurer can invest in a risky asset to minimize the ruin probability. Stochastic Calculus For Finance II: Continuous-Time Models (Springer Finance). Steven Shreve's books on Stochastic calculus (Volume I + Volume II) are amazing in terms of breadth. Shreve 'Stochastic Calculus for Finance II:Continuous Time Model' Hunt, Philip / Kennedy, Joanne 'Financial Derivatives in Theory and Practice' Very good but expensive. Stochastic Calculus for Finance II: Continuous-Time Models.