isbn0387401016

Reader' Reviews

Simply the best for non-math-PhD people / / 2010-07-28
Clear and illustrative.
Certainly can satisfy your eager to do math stuff as long as you are not a well trained professional mathematics PhD.

Good Price / / 2010-02-13
Enjoyed finding the book I needed at a much cheaper price than the school bookstore!

Finally, a book that explains.. / / 2009-02-22
As one of my Math professors put it, "a mathematician will never ever dream of coming up with Black-Scholes formula". The key here is to understand why Fischer Black and Myron Scholes were forced to make the kind of assumptions they have made to price an option contract. The adapted processes, the sigma algebras and several such seemingly abstract concepts are hard to understand or even teach in one or two semesters. It seems the accepted pedagogical approach in teaching this subject has been to skim the surface and focus on the senseless derivation and application of this now infamous formula. You were told that somehow (magically) Black-Scholes works. You were also told to take many things on faith. But for those you who are not willing to surrender that easily, Steven Shreve can be your savior. The author meticulously proved everything. He explains (in amazingly concise format), the most basic ingredients of continuous time finance. There is undoubtedly a philosophical bent to the whole approach and that becomes apparent as you read the book.
The best part is that you could start almost anywhere and work your way backwards through easily navigable theorems and definitions. The notation is straightforward; however it does take some time to get used to.

Good and rigourous intro to financial maths / / 2008-05-03
This is definitely one of the best introductory books on financial mathematics. The book starts to make sense after a summer course in discrete-time martingale course (using william's blue book). Shreve's book gives a general introduction to Brownian motion and Ito stochastic calculus. At the same time, he shows how to apply these theoreis into financial maths, equity or interest rate etc. If you want to learn financial mathematics at a relatively more rigourous level (yet still not too difficult), this is the book to read. If you want intuition and implementation, I strongly recommend Mark Joshi's concepts and practice of mathematical finance.

excellent book on quantitative finance / / 2008-03-24
Nicely written. Shreve is the one of the best authors in mathematical writings(another one I like is milnor). Worth buying one.