Product Description

This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided.

Product Details

• Amazon Sales Rank: #165714 in Books
• Published on: 2003-07-15
• Original language: English
• Number of items: 1
• Binding: Paperback
• 374 pages

Customer Reviews

Required reading for quants and grad students
A previous reviewer described this book as having applications which are "mathematical - far from real life".

Actually, nothing could be further from the truth. Chapter 12, "Application to Mathematical Finance" demonstrates how techniques from stochastic calculus are used daily in industry to price and hedge financial derivatives. The Kalman-Bucy filter, described in Chapter 6, was an important component of the guidance systems used in the Apollo space program. These are very practical applications indeed!

This is quite simply one of the most accessible entry level texts I know for stochastic calculus. This is not to say the subject is easy - it isn't. However, a thorough study of this book will yield many rewards for the motivated reader.

The book does, hoever, presuppose a familiarity with probability and measure theory so one might consider having a good book on probability and measure theory close at hand, e.g. "Probability with Martingales" by David Williams.

Very good reference reading.
I found this book very good overall. I can recommend it only for readers that are already familiar with basic probability/measure theory. Altough it doesn#t explicitly say that, it requires some decent exposure to this subject, otherwise it becomes a bit difficult to read, and can be frustrating when trying to follow his proofs.

The author has an excellent writing style; precise, clear, strict but explanatory and descriptive at the same time.

I helped me enormously to understand stochastic PDE's.

A good book for people who love the maths behind the problem
The book presents an introduction to stochastic differential equations, going in a very fast pace. However, it offers a complex view into the engineering of SDE's, but the applications are rather ... mathematical - far from real life.