Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)

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. This particular volume, covering binomial models, covers advanced concepts in a discrete setting. For some it will represent a waste of time and those individuals are best advised to skip to Volume II. However, many intelligent students who are not so comfortable with abstract mathematics will find this a simple and concrete exposition that can serve as a bridge to more advanced theory.

I went to Carnegie Mellon and met with Dr.Shreve multiple times (although I doubt he remembers me). This book was used as the guide for a course called discrete time finance. Book is great, Dr.Shreve is great. I sometimes read parts of this book when I want a little dose of isolated, pure and not overly complex quantitative finance. Its the book that keeps giving....Practically, however in real world of quantitative trading you almost never use these concepts.

Shreve's book is an excellent introduction to basic options pricing. He not only deals with plain vanilla options, but also shows how the binomial model can be used to to value exotic options. Each chapter has exercises which not only apply what is taught but force you to think and ensure that you really understand it. Little more than basic algebra is required to understand the text, making it very accessible. His expositions of topics such as martingales, markov processes, etc. are very good. The text can be dense, though--there's a great deal of information. In short, if you want an introduction of how options can be priced without the partial differential equations in the Black-Scholes model, this is an excellent choice.

I used this book for my thesis in mathematic. My statistic prof said to read this book, in order to get some information about application of maths and statistic on finance (probability, a little bit of theory games, random walks,..). I found it great! Maybe too theoric. I think that this is a good book for those people who studies economics or finance.

I have the 1st version (pdf), so I hesitated before I make the purchase. Now it turns out that the book is worthy every buck. 1. Use coin tossing space consistently as working sample. Very intuitive, never get the idea lost in abstract concepts. 2. Detailed workout of examples. Very good for self study. 3. Plenty of hands-on homeworks. Not necessarily very challenging. But provide good amount of extra examples. If anything the book can add, I hope it can supply implementations, in Matlab or C++. Well, it may be far stretching for a math book.

Great book. The examples are very easy to follow.

No typo. Good quality. The examples are good for the understanding

The second part has much more to tell. and although based on the first part, could be studied separately. The first part is still a decent foundation for interested readers.

I wish it described in more details it's steps but if you spend more time on it, you'll understand it well.

This is absolutely one of the best textbooks I have used in university. The book provides a well laid-out introduction to financial mathematics. Volume I begins by focusing on the binomial asset pricing model. This model is discussed in discrete time and introduces many fundamental concepts including no-arbitrage, martingales, and Markov processes. Volume I shows how various European and American options can be modelled using probability theory. It also discusses is the change of measure between risk-neutral and actual probabilities using the Radon-Nikodym derivative. Later in Volume I, ideas including the principle for random walk, exotic options, and random interest rates are explored. Volume II looks at many of the same concepts as Volume I, using continuous-time, in addition to introducing numerous other concepts. What distinguishes this textbook from many others is the clarity it provides. While many textbooks contain text and pictures that are irrelevant to learning, this textbook is terse and allows concepts to be understood easily. Each chapter concludes with a concise summary and a wealth of exercises that require the reader's serious thought about the chapter's contents. Volume I and II, both contain enough content each to cover an entire upper year undergraduate mathematics course. The writing in the textbook is very concise and provides ideas in a straightforward manner, which is crucial when time is limited. I highly recommend this textbook looking for an introduction to financial mathematics. I look forward to reading the second book.

I have only covered about half of the first book, so far. While the content is very clear, most of the mathematical concepts are not explained properly. One needs to have at least Master degree (in mathematics) equivalent knowledge to understand all the reasoning behind the definitions given. While it might not be needed for most people, knowing the background knowledge will be very helpful to anyone reading it. On other hand the concepts of finance is also assumed, so this should not be the first book one should pick up to learn mathematical finance. What I found most irritating is that, the book is written as lecture notes, which only make sense with some background material, which is not mentioned in the text. I keep looking for bibliography or references, which are absent.

二項モデルを使いつつ、ファイナンスの重要な定理、性質を学べます。 一貫してコイントスを用いた二項モデルの数値例を使っているので、取っつきやすいです。 他書で確率論・測度変換で躓くこともあった私でも、離散のやさしい例からスタートすることでなんとかモノにすることが出来ました。 あと、それぞれの定理や命題の後に、その主張の直感的な意義が説明していることにも好感が持てました。ただ定理とその証明を述べている書物が多い中でこの点は評価されるべきだと思います。 ただ二項モデルの解説のみが終始続くので、ファイナンス・金融工学を本格的に学びたい人は他の本も揃えておきましょう。

Extremely gud