Biography:Steven E. Shreve
Steven Eugene Shreve is a mathematician and currently the Orion Hoch Professor of Mathematical Sciences at Carnegie Mellon University and the author of several major books on the mathematics of financial derivatives.
His first degree, awarded in 1972 was in German from West Virginia University. He then studied mathematics at Georg-August-Universität Göttingen. He then took a Masters in Electrical Engineering at the University of Illinois, where he completed a PhD in mathematics in 1977.[1]
His textbook Stochastic Calculus for Finance is used by numerous graduate programs in quantitative finance.[2][3] 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.[4] Shreve is a Fellow of the Institute of Mathematical Statistics.[5]
Since 2006, he has held the Orion Hoch Chair Of Mathematical Sciences at CMU.[6]
Books
- Stochastic Optimal Control: The Discrete Time Case with Dimitri P. Bertsekas, Academic Press, 1978.
- Brownian Motion and Stochastic Calculus with Ioannis Karatzas Springer-Verlag, 2nd Ed. 1991.
- Methods of Mathematical Finance with Ioannis Karatzas Springer-Verlag, 1998
- Stochastic Calculus for Finance. Volume I: The Binomial Asset Pricing Model
- Volume II: Continuous-Time Models Springer-Verlag, 2004
The most recent volume was awarded "New Book of the Year" by Wilmott magazine.
References
- ↑ "CV of Steven E. Shreve". http://www.math.cmu.edu/users/shreve/ShreveCV.pdf. Retrieved 2020-01-03.
- ↑ [1][no|permanent dead link|dead link}}]
- ↑ "Interview with Steven Shreve". June 13, 2010. https://quantnet.com/threads/interview-with-steven-shreve.9989/. Retrieved 2020-01-03.
- ↑ Darrell Duffie (March 18, 2008). "A Review of Stochastic Calculus for Finance". https://web.stanford.edu/~duffie/ShreveReviewMain.pdf.
- ↑ "Honored IMS Fellows". Institute of Mathematical Statistics. https://imstat.org/honored-ims-fellows/. Retrieved 2020-01-03.
- ↑ "Steven Shreve". Carnegie Mellon University. https://www.cmu.edu/tepper/faculty-and-research/faculty-by-area/profiles/shreve-steven.html. Retrieved 2020-01-03.
External links
- Shreve's Home Page
- Steven E. Shreve at the Mathematics Genealogy Project
- Steven E. Shreve publications indexed by Google Scholar
 |  |
