Stochastic Calculus and Financial Applications by J. Michael Steele

Stochastic Calculus and Financial Applications J. Michael Steele ebook
Format: djvu
Page: 312
ISBN: 0387950168, 9780387950167
Publisher: Springer

I'm a pure math major as well, going into who knows what in something quant-finance-y. That's awesome (speaking as a Big10 fan). Nice post, read through it while my proff was giving us applications of BM, ironically enough. Continuous Stochastic Calculus with Applications to Finance. Something on numerical methods. Basic intuition is built in Volume I using a discrete-time binomial asset pricing model. "Stochastic Calculus and Financial Applications" by J. Michael Steele "An Introduction to Stochastic Integration" by K.L. Steven Shreve's books on Stochastic calculus (Volume I + Volume II) are amazing in terms of breadth. Read blog posts on Monte Carlo Simulation & Stochastic Calculus: The Ladies Love It! To date, discrete stochastic calculus has found robust applications in mathematical finance and fluid dynamics. On Wall Street Oasis, the largest finance industry social network and web community. One of the first techniques that need to be learnt is the application of Ito's lemma for a process with jumps. In Volume II, the author introduces all the concepts needed to build a financial model in continuous-time. In this post, I will try to summarize a few ..