In the below files are some solutions to the exercises in Steven Shreve’s textbook “Stochastic Calculus for Finance II – Continuous Time Models” (Springer, 2004). The files are grouped by chapter.
I think that Prof. Shreve wrote a really great set of books that are well suited for self-study due to the many hints and intermediate solutions that the end-of-chapter questions provide. Due to copyright reasons, I can only post the solutions but not add the original question to the PDF documents.
Current Progress
| Chapter | Progress |
| Chapter 3 – Brownian Motion | 8 of 9 ~ 89% |
| Chapter 4 – Stochastic Calculus | 15 of 21 ~ 71% |
| Chapter 5 – Risk-Neutral Pricing | 14 of 14 ~ 100% |
| Chapter 6 – Connections with Partial Differential Equations | 5 of 10 ~ 50% |
| Chapter 7 – Exotic Options | 3 of 9 ~ 33% |
| Chapter 9 – Change of Numeraire | 2 of 6 ~ 33% |
Please leave a commment if you found the solutions helpful.
Attachments
- Solutions to Chapter 3: ShreveIISolutionsChapter03.pdf
- Solutions to Chapter 4: ShreveIISolutionsChapter04.pdf
- Solutions to Chapter 5: ShreveIISolutionsChapter05.pdf
- Solutions to Chapter 6: ShreveIISolutionsChapter06.pdf
- Solutions to Chapter 7: ShreveIISolutionsChapter07.pdf
- Solutions to Chapter 9: ShreveIISolutionsChapter09.pdf