Pre-requisites for reading and solving through Schreve's books

Quasar Chunawala

Active Member
Hi folks,

I have a modest background in calculus based probability. I have begun studying mathematical analysis.

Steven Schreve's stochastic calculus books look accessible to me, it seems I can take them in slowly. But, I would like to ask for tips. With sufficient hard work, is it possible to gain a general knowledge of stochastic calculus fundamentals through these books(keeping in view I don't have a rigorous background in analysis yet)?

Kind regards,

Shreve's older book (1996?) for Volume I, is shorter than a newer one. I think there's a solution manual out there. The book needs supplementation. You should here things in a complicated, and then simplified way. I think if you combine the book with videos, it will make sense. Also, if you know a bit of programming, go find tutorials (written/video/git repo) about implementing the basics of stochastic calculus - a Black Scholes option pricer.

Shreve + simple video + code tutorial = win