Advice for a stochastic calculus book!!

[Lorenz]

Hi! can someone suggest me a good book for studying stochastic calculus? Searching on the web I found two books that seem good: "Elementary Stochastic Calculus With A Finance In View" written by Thomas Mikosch and "An Introduction To The Mathematics Of Financial Derivatives" written by Salih N. Neftci... Are them good? I would like a book with not much mathematical notation! I'm studying Hull's "Option, Futures And Other Derivatives" and it's good for me! I understood well the chapter about Wiener processes and the chapter about Black Scholes Merton model! So I would an advice! Thank you for the answers!

 

[diegosanaz]

I think most masters use at least for one course this book:
http://www.amazon.com/Stochastic-Calculus-Finance-II-Continuous-Time/dp/0387401016

I have used it. The notation is not that hard. Is mathematical, but is not formal. I think it accomplishes to give readers intuition of the mechanics of stochastic calculus in finance. At least is a good into to the theory.

 

[Lorenz]

Yes! That book was my first choice but I read on the web that is too difficult for self studying!!

 

[Alexandre Chretien]

Bottom line, stochastic calculus isn't easy.

 

[pingu]

Yes! That book was my first choice but I read on the web that is too difficult for self studying!!

It is going to suck. Stoch calculus is hard regardless.

 

[MauroMeneses]

McDonald. Derivatives Markets... But is as basic as Hull's.

The Study Guides of the SOA's "Models in Financial Economics" certification have a section of S.Calculus with a bunch of excercises (practical S.Calculus and in derivatives pricing), but if you really want to understand the theory, you will have to read books like the Shreve's eventually.

 

[Lorenz]

Ok! Thanks all!

 

[rajanS]

Brownian motion calculus by ubbo wiersema. I self studied stochastic calc

 

[themarketprofessor]

Lorenz, I highly recommend this

Financial Calculus: An Introduction to Derivative Pricing
Martin Baxter (Author)

(Author), Andrew Rennie (Author)

The approach is very down to earth and practical with minimal prior knowledge. A brilliant introduction for beginners.