Steven E. Shreve

Steven E. 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 the studied mathematics at Georg-August-Universitat. He then took a Masters in Electrical Engineering at the University of Illinois, where he completed a PhD in mathematics in 1977.^[1]

Since 2006, he has held the Orion Hoch Chair Of Mathematical Sciences at CMU.^[2]

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.