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1、StochasticCalculusforFinanceIIContinuous-TimeModelsStevenE.ShrevePrefaceOriginofThisTextThistexthasevolvedfrommathematicscoursesintheMasterofScienceinCompu-tationalFinance(MSCF)programatCarnegieMellonUniversity.Thecontentofthishookhasbeenusedsuccessfullywithstudentswhos
2、emathematicsbackgroundcon-sistsofcalculusandcalculus-basedprobabilityThetextgivenprecisestatementsofresults,plausibilityarguments,andevensomeproofs,butmoreimportantly,intuitiveexplanationsdevelopedandrefinedthroughclassroomexperiencewiththismaterialareprovided.Exercisesc
3、oncludeeverychapter.Someoftheseextendthetheoryandothersaredrawnfrompracticalproblemsinquantitativefinance.ThefirstthreechaptersofVolumeIhavebeenusedinahalf-semestercourseintheMSCFprogram.ThefullVolumeIhasbeenusedinafull-semestercourseintheCarnegieMellonBachelor’sprogramin
4、ComputationalFinance.VolumeIIwasdevelopedtosupportthreehalf-semestercoursesintheMSCFprogram.DedicationSinceitsinceptionin1994,theCarnegieMellonMaster’sprograminComputationalFinancehasgraduatedhundredsofstudents.Thesepeople,whohavecomefromavarietyofeducationalandprofessi
5、onalbackgrounds,havebeenajoytoteach.Theyhavebeeneagertolearn,askingquestionsthatstimulatedthinking,workinghardtounderstandthematerialboththeoreticallyandpracticallyandoftenrequestingtheinclusionofadditionaltopics.Manycamefromtimefinanceindustry,andweregraciousinsharingth
6、eirknowledgeinwaysthatenhancedtheclassroomexperienceforall.ThistextandmownstoreofknowledgehavebenefitedgreatlyfrominteractionswiththeMSCFstudents.andIcontinuetolearnfromtimeMSCFalumni.Itakethisopportunitytoexpressgratitudetothesestudentsandformerstudentsbydedicatingthisw
7、orktothem.AcknowledgmentsConversationswithseveralpeople,includingmycolleaguesDavidHeathandDmitryKramkov,haveinfluencedthistext.LukaszKrukreadmuchofthemanuscriptandiiprovidednumerouscommentsandcorrections.Otherstudentsandfacultyhavepointedouterrorsinandsuggestedimprovemen
8、tsofearlierdraftsofthiswork.SomeoftheseareJonathanAnderson,BogdanDoytchinov,StevenGillispie,SeanJones,AnatoliK
