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Stochastic Calculus

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psyborg
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Joined: June 17th, 2009, 6:21 am

Stochastic Calculus

January 9th, 2010, 1:58 am

Hi,I just started with PWOQF and quite obviously there is a lot of SC. The book does explain some concepts as one reads along, but I'd like a reference.So, can someone suggest me good SC books to read side by side ?Edit: On finishing the chapter PW recommends Neftci, I guess I will have a look at that.Regards
Last edited by psyborg on January 8th, 2010, 11:00 pm, edited 1 time in total.
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psyborg
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Stochastic Calculus

January 13th, 2010, 7:23 am

I found the following list of books related to Stochastic Calculus. I want suggestions on where to start first:1. Baxter/Rennie2. Nefti3. Shreve 1&24. BjorkThanks
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Stale
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Stochastic Calculus

January 13th, 2010, 3:37 pm

Try Øksendal too, if you want to get to the more gritty stuff.Stale
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