My answers to exercises in Stochastic Calculus for Finance by Steven E. Shreve.

• I. Binomial Asset Pricing Model (19/55)

  • 1. The Binomial No-Arbitrage Pricing Model (9/9)
  • 2. Probability Theory on Coin Toss Space (14)
  • 3. State Prices (9)
  • 4. American Derivative Securities (3/7)
  • 5. Random Walk (9)
  • 6. Interest-Rate-Dependent Assets (7/7)

• II. Continuous-Time Models (2/121)

  • 1. General Probability Theory (15)
  • 2. Information and Conditioning (11)
  • 3. Brownian Motion (2/9)
  • 4. Stochastic Calculus (21)
  • 5. Risk-Neutral Pricing (14)
  • 6. Connections with Partial Differential Equations (10)
  • 7. Exotic Options (9)
  • 8. American Derivative Securities (7)
  • 9. Change of Numeraire (6)
  • 10. Term-Structure Models (12)
  • 11. Introduction to Jump Processes (7)

for discussion, please write to aaron.fu (at) alumni.ust.hk