Steven S. Shreve

Steven E. Shreve is a Orion Hoch Professor of Mathematics at Carnegie Mellon University and a co-founder of the Master of Science program in Computational Finance there in 1993. He received a B.A. in German as West Virginia University in 1972,and then a M.S. in Electrical Engineering and Ph.D. in Mathematics from the University of Illinois in 1977.

His publication Stochastic Calculus for Finance is used by some graduate students of quantitative finance.

The book was voted "Best New Book in Quantitative Finance" in 2004 by members of Wilmott website, and has been highly praised by scholars in the field. Shreve is a Fellow of the Institute of Mathematical Statistics

Publications

Books

He has written 5 books, some of which have been translated into Chinese and Japanese.

• Stochastic Calculus for Finance; Volume I: The Binomial Asset Pricing Models by Steven E. Shreve, Springer-Verlag, New York, 2005 ISBN 9780387249681
• Stochastic Calculus for Finance; Volume II: Continuous-Time Models by Steven E. Shreve, Springer-Verlag, New York, 2004, 8th printing, 2008. ISBN 9780387401010
  • Translated into Japanese as: Shreve, Steven E., and Izumi Nagayama. 連続時間モデル / Renzoku jikan moderu. Fainansu no tameno kakuritsu kaiseki, 002. Tōkyō: Shupuringājapan, 2008. ISBN 9784431100263
  • Translated into Chinese (v.1 & 2) as: Shreve, Steven E. 金融随机分析 / Jin rong sui ji fen xi. Shanghai Shi: Shanghai cai jing da xue chu ban she, 2008. ISBN 9787564202675
• Methods of Mathematical Finance by Ioannis Karatzas and Steven E. Shreve. Springer-Verlag, New York, 1998 ISBN 9780387948393
  • Chinese edition by Beijing World Publishing Corporation, 2004
  • Review, by Marek Rutkowski; Journal of the American Statistical Association, Jun., 2000, vol. 95, no. 450, p. 685-686
• Mathematical Finance by Mark H. A. Davis, Darrell Duffie, Wendell Fleming and Steven E. Shreve, editors. IMA Volumes in Mathematics and its Applications 65. Springer-Verlag, New York, 1995
• Brownian Motion and Stochastic Calculus by Ioannis Karatzas and Steven E. Shreve, Springer-Verlag, New York. First ed. 1988. Second Edition, 1991. ISBN 9783540976554
  • Chinese edition by Worldwide Publishing Co., 1990.
  • Review, by Richard Dykstra; Journal of the American Statistical Association, Mar., 1989, vol. 84, no. 405, p. 338-339
• Stochastic Optimal Control: The Discrete Time Case by Dimitri P. Bertsekas and Steven E. Shreve. Academic Press, Orlando. 1978. Reprinted by Athena Scientific Publishing, 1995,(available for free download at http://web.mit.edu/dimitrib/www/soc.html)

Peer-reviewed journal articles

Shreve has written 45 articles is peer-reviewed journals.

Other publications

• Model Risk, Analytics, April 2009. [3]
• Don’t Blame the Quants www.forbes.com, October 7, 2008.

External links

• http://www.math.cmu.edu/~shreve/ official home page at University
• http://www.math.cmu.edu/users/shreve/ShreveCV.pdf official CV