Yep; that's right. I am looking for a book on stochastic Calculus. What is the unofficial MHF recommended text/e-book for such a subject?

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- July 16th 2008, 12:18 PMcolby2152Looking for Text on Stochastic Calculus
Yep; that's right. I am looking for a book on stochastic Calculus. What is the unofficial MHF recommended text/e-book for such a subject?

- July 16th 2008, 02:30 PMThePerfectHacker
I really like to use

__Springer Graduate Texts in Mathematics__. Usually those books are very well written sometimes by top mathematicians. I just did a search an found this. But I really have no idea because I am a probability noob. I also do not know if this is what you are looking for because Springer GTM books are heavy on mathematical theory rather than applications. Just a recommendation. - July 18th 2008, 12:36 PMcolby2152
Hmm, I didn't see anything in Springer regarding stochastic Calculus. The book you found on Amazon is the same one as I found. I am looking for a text to help me with theory in a general sense as to why it was developed. I need this background to help me tackle Brownian Motion, Ito's Lemma and effects on stock and interest rate models in one of my upcoming Society exams.

Never mind, the Amazon link is referring to Springer. I'll take a peak inside to see if it fits my learning style.(Nerd)

**EDIT**: It turns out that the text is a bit too mathematical for me. Yep, I know... who says that on MHF, but I am not one for explicitly detailed proofs unless I am very familiar with the topic on a more elementary level.

The search continues. Thanks TPH. - July 18th 2008, 10:34 PMMatt Westwood
I've got "The Theory of Stochastic Processes" by D.R. Cox and H.D. Miller (Chapman and Hall, 1965) on my bookshelf, but I've not got round to studying it. It seems fairly stodgy and old-fashioned, but it does appear to be application-friendly. It's mentioned but not detailed on Amazon, from what I can tell. (Appropriately, in my copy there's a lottery ticket - not mine, the person who had the book before me - being used as a bookmark on page 16.)