Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) | Steven E. Shreve | One of the best if you want to understand the Options theory

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Stochastic Calculu...

	Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) Steven E. Shreve Springer, 2008 - 550 pages average customer review:based on 26 reviews view larger image
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highly recommended

It's right for Finance!

In the old time, students in Finance or Financial Engineering who want to study SDE has few choices.

Kazartas & Shreves' classic text book is too rigorous and very demanding, it would give readers solid theoretical background, but I think only few readers can really master in those material.

That's why books like Oksendal's SDE come into the market, they are easier than Kazartas & Shreve but deeper than many undergrad Financial Mathmetics in theory. Oksendal is easy reading and good for self study; however, it's Finance part is relatively weak.

For those Finance or Financial Engineering people, Steele's book fits well, It is right at the level like Oksendal, and root at Finance application. It's story telling style makes it joyful in reading, but bad in reference.

Finally we have Shreve's new book. This book is at the level of demanding as Oksendal and Steele's books. You may still need some grad-level mathematics training to understand the stuff well. But unlike other stochastic calculus books, it is designed for Finance field. Finance guy nomatter practitioners or researchers can soon find help they need in this books. Also it is well-organized and with nice writing style. Although the first couple chapters are a little too condense, I still highly appreciate this book.

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One of the best if you want to understand the Options theory

I have had the privilege to take classes under Prof. Shreve and also, we got a free copy of this book before the book was publshed. I have looked at a lot of books to get a better understanding of financial mathematics. I think this one stands out from the lot. For someone who does not have a background in measure theory, the first couple of chapters might be a little hard to digest. But once you are through it, the rest of the chapters are just amazing. Today, after graduating if there's one book that I refer back again and again, it's this. This book explains ito's lemma, girsanov's theorem, and change of measure in a beautiful way. This is a very good reference for someone who's very keen in understanding the theory behind derivatives pricing.
Books like Options derivatives by Hull are claimed by a lot of people as the bible for derivatives theory. I beg to differ. The reason being that if you are really interested in understanding something then you have to go to the roots. And that's where Shreve's book helps you!

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One of the best!

It would be hard to overstate my enthusiasm for this text and its companion volume. In field that is too frequently represented by poorly thought out drafts rushed to market or by advanced mathematical treatments that are not easily understood by individuals more focused on practice, Shreve's texts stand out by being both rigorous and accessible with well thought out examples and exercises.

Worth Reading Cover-to-Cover!

The most impressive thing about this book is that it was able to fit a wide selection of materials into one volume without compromising much on the clarity of the presentation. The later chapters that cover exotic options, term-structure models, jump-diffusion processes are especially stimulating to read.

Other pros of the book include:

+ Self-contained (Well-written intro's to background materials are presented in the first two chapters.)
+ Presents both theory and intuition
+ Carefully planned end-of-chapter exercise problems
+ Consistent mathematical notations
+ Each chapter ends with an excellent summary
+ Historical notes (on who discovered which theorem and how they came about) help to put each theorem into perspective

Overall, it is an ideal textbook for a "first course" in mathematical finance.

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By far the best.

I've been trying to absorb this theory jumping around many textbooks (Hull, Baxter & Rennie, etc). This book is really a pleasure to read with everthying explained crystal clear giving the main insights into the theory.

Furthermore the notation is excellent. Other books like Karatzas & Shreve or Oksendal are difficult to open half-way because the notation is obscure or complex.

Although the book is basically self-contained the reader probably needs some familiarity with measure theory. Don't waste any time with other books, stat with this one.

Well done Steven Shreve!!!!

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reviews: 1, 2, 3, 4, page 5, 6

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