Stochastic Calculus and Financial Applications J. Michael Steele
Publisher: Springer

Basic intuition is built in Volume I using a discrete-time binomial asset pricing model. Stochastic Calculus and Financial Applications J. Steven Shreve's books on Stochastic calculus (Volume I + Volume II) are amazing in terms of breadth. In this post, I will try to summarize a few .. I'm a pure math major as well, going into who knows what in something quant-finance-y. Nice post, read through it while my proff was giving us applications of BM, ironically enough. I suppose corporate finance stuff wouldn't be too valuable? In Volume II, the author introduces all the concepts needed to build a financial model in continuous-time. Stochastic Analysis and Applications: The Abel Symposium 2005. Handbook of Stochastic Analysis and Applications (Statistics: A. Read blog posts on Monte Carlo Simulation & Stochastic Calculus: The Ladies Love It! On Wall Street Oasis, the largest finance industry social network and web community. Stochastic Integrals : Proceedings of the LMS Durham Symposium . 1) Stochastic Calculus for Finance 2 - Continuous-Time Models, by Shreve, for basics of finance Ornithology with applications to fragility problems. That's awesome (speaking as a Big10 fan). And stochastic calculus needed for the valuation of financial derivatives. Random Series and Stochastic Integrals : Single and Multiple (Probability and its Applications) book download. It also covers the basic concepts and methods of modern probability and stochastic analysis, placing emphasis on the possible applications in finance. One of the first techniques that need to be learnt is the application of Ito's lemma for a process with jumps.