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Math Help - Looking for Text on Stochastic Calculus

  1. #1
    GAMMA Mathematics
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    Looking 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?
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    Quote Originally Posted by colby2152 View Post
    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?
    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.
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    Quote Originally Posted by ThePerfectHacker View Post
    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.
    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.

    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.
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  4. #4
    Super Member Matt Westwood's Avatar
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    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.)
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