MATH5734M
Module Reading List

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 an introduction to metric spaces, Hilbert spaces and Banach algebras, 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