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MATH3734
Stochastic calculus for finance

Stochastic Calculus for Finance, 2019/20, Semester 2
Elena Issoglio
E.Issoglio@leeds.ac.uk
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.

  1. B. Oksendal  "Stochastic Differential Equations - An Introduction with Applications" Springer 2003 (https://www.springer.com/gp/book/9783540047582)
  2. 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)
  3. P. Baldi "Stochastic Calculus: An Introduction Through Theory and Exercises" Springer 2017 (https://www.springer.com/gp/book/9783319622255)
  4. 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