Books in Linear Alagebra, stochastic calculas

unchristened · July 14th, 2005, 9:20 am

I would be joining CU MAFN this fall. I need to know a good book for each of the above topics to refresh (online/net version prefered). As for stocastic calculas is there a book which has examples from financial applications ? I have found the following (online) : 1. Steven Shreve: Stochastic Calculus and Finance 2. http://joshua.smcvt.edu/linearalgebra/toc.html any thing that would typically be helpful give the prespective of a MAFN course is most welcome. Also, any book on finacial calculas ? cheers

csa · July 14th, 2005, 2:16 pm

You can try Oksendal's Stochastic Differential Equations for stochastic calculus. It's a well-written book and is very straight-forward.

SierpinskyJanitor · July 14th, 2005, 2:20 pm

That´s not an excellent choice for a beginner... (are you mad?)... try this one instead!

WilmottBookshop · July 14th, 2005, 2:23 pm

Stochastic Differential Equations: An Introduction with Applications by Oksendal is available from the Wilmott Bookshop.

WilmottBookshop · July 14th, 2005, 2:27 pm

Option Theory With Stochastic Analysis: An Introduction to Mathematical Finance by Fred Espen Benth is also available from the Wilmott Bookshop.

adas · July 20th, 2005, 10:36 pm

QuoteOriginally posted by: SierpinskyJanitorThat´s not an excellent choice for a beginner... (are you mad?)... try this one instead!If he's read Shreve's Stochastic Calculus and Finance, then Oksendal should be a walk in the park.

gobbledygook · July 21st, 2005, 5:03 am

QuoteOriginally posted by: adasQuoteOriginally posted by: SierpinskyJanitorThat´s not an excellent choice for a beginner... (are you mad?)... try this one instead!If he's read Shreve's Stochastic Calculus and Finance, then Oksendal should be a walk in the park.Then he got to have a pretty steep learning curve!