Steven E. Shreve

Steven Eugene Shreve is a mathematician and a University Professor Emeritus in the Department of Mathematical Sciences at Carnegie Mellon University. He was previously the Orion Hoch Professor of Mathematical Sciences, which he held from 2006 until his retirement.^[1] Shreve is also 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.^[2]

His textbook Stochastic Calculus for Finance is used by numerous graduate programs in quantitative finance.^[3]^[4] 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.^[5] Shreve is a Fellow of the Institute of Mathematical Statistics.^[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

^ "Frieze Named Orion Hoch Professor of Mathematical Sciences". Carnegie Mellon University. Retrieved 2023-03-23.
^ "CV of Steven E. Shreve" (PDF). Retrieved 2020-01-03.
^ [1]^{[permanent dead link]}
^ "Interview with Steven Shreve". June 13, 2010. Retrieved 2020-01-03.
^ Darrell Duffie (March 18, 2008). "A Review of Stochastic Calculus for Finance" (PDF).
^ "Honored IMS Fellows". Institute of Mathematical Statistics. 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

[1] "Frieze Named Orion Hoch Professor of Mathematical Sciences". Carnegie Mellon University. Retrieved 2023-03-23.

[2] "CV of Steven E. Shreve" (PDF). Retrieved 2020-01-03.

[3] [1]^{[permanent dead link]}

[4] "Interview with Steven Shreve". June 13, 2010. Retrieved 2020-01-03.

[5] Darrell Duffie (March 18, 2008). "A Review of Stochastic Calculus for Finance" (PDF).

[6] "Honored IMS Fellows". Institute of Mathematical Statistics. Retrieved 2020-01-03.

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