Tutor information is taken from the Module Catalogue
Hand written lecture notes will be provided.
The following books should be used to complement the notes and find more exercises.
- B. Oksendal "Stochastic Differential Equations - An Introduction with Applications" Springer 2003 (https://www.springer.com/gp/book/9783540047582)
- L.C. Evans "An Introduction to Stochastic Differential Equations" American Mathematical Society 2003 (https://www.maa.org/press/maa-reviews/an-introduction-to-stochastic-differential-equations)
- P. Baldi "Stochastic Calculus: An Introduction Through Theory and Exercises" Springer 2017 (https://www.springer.com/gp/book/9783319622255)
- S. Shreve " Stochastic Calculus for Finance II - Continuous-Time Models" Springer 2004 (https://www.springer.com/gp/book/9780387401010)
If you want to buy one of the references, I suggest either Evans (gives a more intuitive account of the subject) or Oksendal (a bit more detailed and rigorous from the mathematical point of view). The last reference is very well-know in financial mathematics but it is also quite hard and it contains way more topics than we need.
This list was last updated on 24/01/2020