Stochastic in finance

Question

I need of a undergraduate guide level to study stochastic process with finances. Starting from a review of probability theory. Eg books, papers or posts. I'll apreciate some help.

score 2 · Answer 1 · answered Feb 27 '14 at 22:43

You should take a look at the two volume series, Stochastic Calculus for Finance by Steven Shreve.

The first volume discusses mathematical finance for discrete processes, while the second develops the theory for continuous processes, including a treatment of the general theory of Ito calculus.

score 1 · Answer 2 · answered Feb 27 '14 at 22:58

I am doing a undergraduate Stochastic Analysis and Its Applications(for finance mostly), and the recommended text are: 1) D.Williams Probabilty with Martingales 2) A.Etheridge A course in Financail Calculus 3)B.Okasendal Stochastic Differential Equations: An Introduction with Application. And I think Probability Essentials by J.Jacod & P.Protter is a good book for quick review of probability theory.

score 1 · Answer 3 · answered Feb 27 '14 at 23:05

1

You need to learn a bit of measure theory. Since I am sure that they will discuss about sigma algebras and stuffs like that. Use Royden book as a ref. Also this one is good : Klebaner F.C. Introduction to stochastic calculus with applications

answered Feb 27 '14 at 23:05

Peter

1,955

Stochastic in finance

3 Answers3