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.
|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.
- 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