Any reviews on this book ? I have some stats and calc from university but i'm not sure if this will be over my head ? (available in the Wilmot bookshop of course)

Is this J Michael Steele's book? If it is, it's tough going -- Look it up in a library before you buy it.

Please, does anyone have comments on the following:T C Gard Introduction to Stochastic Differential EquationsL Arnold Stochastic Differential EquationsI am an ex-physicist who has read Gardiner and van Kampen. I am not particularly looking for mathematical rigour in the sense of existence & uniqueness proofs, but of an improved understanding of (the limitations of) the framework, continuous stochastic processes are built in.

QuoteOriginally posted by: Simplicio I am an ex-physicist who has read Gardiner and van Kampen. I am not particularly looking for mathematical rigour in the sense of existence & uniqueness proofs, but of an improved understanding of (the limitations of) the framework, continuous stochastic processes are built in.But that's exactly what's in van Kampen's book.

Omar, it is the Steele book. Any advice on other books on the same topic ?

Omar >> But that's exactly what's in van Kampen's book. Sorry Omar, phrased it a bit badly; is there greater depth in these books or are they really the same as van Kampen? I have to confess it is now about 7 years since I read van Kampen; recently I have been thinking about these things and wanted to read something to help me formulate my thoughts. I thought of re-reading vK but then I saw a reference to these books. This isn't currently in my direct line of work, but I enjoy this stuff - however fundamentally I am unhappy with my feel of the area of continuous stochastic processes; somehow I feel there is something missing. (Do you know what I mean? You read it, you (nominally) understand it, but it just doesn't feel intuitive to you, it doesn't quite click.)

Hi Simplicio,How about van kampen's book and Garnder's book? Are they thoroughly clear?

For my course on risk neutral valuation these were the suggested textbooks:- Bingham-Kiesel- Etheridge- Baxter Rennie- SteeleI have bought most of them, and I can tell u the following:- Baxter: very intuitive and comprehensible- Etheridge: the mathematical rigorous treatment of the Baxter-Rennie (same organization of topics)- Steel: don't know- Bingham: probably the best in my opinion, but sometime not so straightforward..but the best textbook I have ever seen so far is the preprint of a text on financial calculus written by Professor Hughston of King's College in London...the risk neutral valuation in very well explained both in discrete as in the continous setting...it offers a step-by-step proof of the mathematical derivation (and most important, the SOLUTION method) of the B&S PDEs...

Stefanone,I agree with your points. Actually, Etheridge's book is not easily readable. If a reader does not have sufficient probability background, it would be hard for him to follow. Many proofs in Etheridge's book are very concise and compact!!!Do you know where I can find preprint of a text on financial calculus written by Prof. Hughston? Did he put it on his website?

J and Stefanone, Is this the preprint of a text on financial calculus you are talking about?"L.P. Hughston and C.J. Hunter (2003) Financial Mathematics: an Introduction to Derivative Pricing. Lecture Notes in Financial Mathematics, King's College London. "Thanks

J and Stefanone, Is this the preprint of a text on financial calculus you are talking about?"L.P. Hughston and C.J. Hunter (2003) Financial Mathematics: an Introduction to Derivative Pricing. Lecture Notes in Financial Mathematics, King's College London. "Thanks