Author: Alan Bain
Type: Study Notes, Lecture Notes
Type: Advanced Undregraduate(Math), MSc(Math. Fin), Ph.D.(Fin)
These notes provide an introduction to the basics of stochastic integration with respect to continuous semimartingales. They contain all the theory usually needed for basic mathematical finance such as Girsanov theorem (change of measure). The topic of stochastic differential equations (SDEs) is also covered as well as the relations with partial differential equations (Feynman-Kac Representation).
Type: Study Notes, Lecture Notes
Type: Advanced Undregraduate(Math), MSc(Math. Fin), Ph.D.(Fin)
These notes provide an introduction to the basics of stochastic integration with respect to continuous semimartingales. They contain all the theory usually needed for basic mathematical finance such as Girsanov theorem (change of measure). The topic of stochastic differential equations (SDEs) is also covered as well as the relations with partial differential equations (Feynman-Kac Representation).
You can download Alan Bain's "Stochastic Calculus" using the link that follows
Stochastic Calculus
Alan Bain's webpage:
http://www.chiark.greenend.org.uk/~alanb/
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