Stochastic Calculus

[Lun]

I'm going to learn Stochastic Calculus by myself

I would like to see any one can share his/her experience

what I want to know/get is
any suggested reading ?
any suggested notes for download ?
what's the difficulty in studying Stochastic Calculus ?
any suggestion on studying Stochastic Calculus ?

actually, I have serached google for reading, just want to see whether you guy & gal can give me more. Thank you very much !!

 

[SteveTownsend]

Salih Neftci's "An Introduction to the Mathematics of Financial Derivatives" has a very good walkthrough introduction to stochastic calculus that is unburdened by excessive mathematical rigour. Speaking as a math undergrad from many years ago, I found I could follow this, even with pretty rusty standard calculus.

For advanced study, I gather Steven Shreve's and Bernt Oksendal's texts are preferable.

 

[Andy Nguyen]

To add to Steve's already good recommendation, I would suggest Steven Shreve's Stochastic Calculus Models for Finance I, II
His website is http://www.math.cmu.edu/users/shreve/
You can download his lecture notes (similar like the book) online here

 

[Lun]

To add to Steve's already good recommendation, I would suggest Steve Shreve's Stochastic Calculus Models for Finance I, II
His website is http://www.math.cmu.edu/users/shreve/
You can download his notes online here

It seems that Steve is an important person for Stochastic Calculus. Many stuff is with his name, is he the father of Stochastic Calculus ?

For the notes, I have downloaded and printed a hard copy before. Is it the same as the book ? I haven't checked it out.

Honestly, I have gone through all the preliminary stuff like martingale, measure, expectation, brownian motion. However, when it comes to stochastic integration, it seems that intuition can't get pass. Well, I just wonder if it is most trouble part or I haven't thoroughly digested the preliminary.

Can you share your experience ?

Thanks !

 

[Lun]

Salih Neftci's "An Introduction to the Mathematics of Financial Derivatives" has a very good walkthrough introduction to stochastic calculus that is unburdened by excessive mathematical rigour. Speaking as a math undergrad from many years ago, I found I could follow this, even with pretty rusty standard calculus.

For advanced study, I gather Steven Shreve's and Bernt Oksendal's texts are preferable.

Hi SteveTownsend,

Thanks for your reply. I have got Salih Neftci's book, it's easy to follow. At least, it explains to me what PDE does. I have tried to pick up some books like "introduction to PDE", they all start with some definitions instead of helping me to think about what happens. Thanks !!