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

With this normalisation, sigma^2 basically becomes the amount of variance produced in S_t .. Stochastic Calculus for Finance II: Continuous-Time Models. Fixed Income Securities by Tuckman. Stochastic Calculus for Finance II: Continuous-Time Models: v. Options Futures and other Derrivatives by Hull. Stochastic Calculus for Finance II: Continuous-Time Models by Shreve. Book Name: Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) Author: Steven Shreve Hardcover: 570 pages Publisher: Springer; 1st. To assume the existence of “risk neutral probability,” there is a relatively short, direct derivation of the Black-Scholes call formula; see Shreve's excellent Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004. Contract Theory in Continuous Time Models. Options and term structure models, all in continuous time. (The factor of (dt)^{1/2} is a natural normalisation, required for this model to converge to Brownian motion in the continuous time limit dt o 0 . Program in Computational Finance.