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Module Reading List

Stochastic Calculus for Finance, 2021/22, Semester 2
Dr Konstantinos Dareiotis
Tutor information is taken from the Module Catalogue

Lecture notes will be provided and are self-contained. 

Below you can find some monographs that are suggested as additional material. Students without a backround in measure theoretic probability are strongly encouraged to consult 1) and students without a background in analysis are strongly encouraged to consult 2). 

Background study: 

 1) J. Jacod, P. Protter. Probability essentials, Springer 2004 

 2) J. Muscat. Functional analysis, Springer 2014

Independent study in stochastic analysis and applications in finance:

 3) N. V. Krylov. Introduction to the theory of random processes, vol. 43 of Graduate Studies in Mathematics. American Mathematical Society, Providence, RI, 2002. doi:10.1090/gsm/043. 

 4) L. B. Koralov and Y. G. Sinai. Theory of probability and random processes. Universitext. Springer, Berlin, second ed., 2007. doi:10.1007/978-3-540-68829-7

 5) L.C.Evans. An introduction to stochastic differential equations. AmericanMathematicalSociety, Providence, RI, 2013. doi:10.1090/mbk/082.

 6) Yan, Jia-An. Introduction to Stochastic Finance, Springer 2018

This list was last updated on 02/08/2021