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Jurassic


Total Posts: 199
Joined: Mar 2018
 
Posted: 2019-03-22 21:03
I need a quick way to revise the stochastic calculus needed for finance?

Anyone know of any good sources, preferably less than 20-30 pages?

Essentially does anyone know of anything better than this? http://quantum.phys.cmu.edu/QIP/ito_calculus.pdf

athletico


Total Posts: 957
Joined: Jun 2004
 
Posted: 2019-03-22 21:41
About 10x the number of pages you are looking for but I urge you to buy Baxter and Rennie It is a very concise but clear intro to stoch calc methods in finance.

nikol


Total Posts: 640
Joined: Jun 2005
 
Posted: 2019-03-22 23:17
i have seen something shorter, but anyway.

http://www.johnboccio.com/research/quantum/notes/sde.pdf

Jurassic


Total Posts: 199
Joined: Mar 2018
 
Posted: 2019-03-24 10:34
For anyone else who wants the answer to this, http://www.columbia.edu/~mh2078/ContinuousFE/stochastic_calculus.pdf
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