Author: **Steven E. Shreve**

Ebook: **Stochastic Calculus Models for Finance II**

ISBN: **0387401016**

Pages: **550**

## 5 thoughts on “Stochastic Calculus Models for Finance II”

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# Stochastic Calculus Models for Finance II

##
5 thoughts on “Stochastic Calculus Models for Finance II”

### Leave a Reply

**Steven E. Shreve**

Ebook: **Stochastic Calculus Models for Finance II**

ISBN: **0387401016**

Pages: **550**

You must be logged in to post a comment.

This is a must-read book for mathematical finance. It covers fundamental and advanced concepts and models for derivatives pricing in details. I highly recommend Chapter 3 (Brownian motion). This chapter explains Random Walk, Symmetric Random Walk and Geometric Brownian motion and their relationships very well.

The single book I have spent most time on. Steve Shreve is my professor of this course. He gives wonderful lectures. His understanding in math and finance helps a lot to understand the formulas of this book. His passion in teaching and skills in communication is truely inspiring.

Lacks depth once the author finishes borel algebras ;)) stochastic PDE is not developed in any way. Just remember Feynman-Kac and you are good to go lol

If I’m going to learn stochastic calculus this rigorously, I want more in-depth treatment of Ito’s lemma and the like to know how much to believe it and what the proofs really depend on.

If you’re not going to go full out, then why not just grab a quick primer on Ito’s lemma without all the background?

(admittedly this book is probably better in that respect than just about any other finance-focused text I’ve seen, but still, what’s the utility in the middle ground?)

This is the best, most readable book on this topic (though make no mistake, it is still a graduate level mathematics text). The .pdf of Shreve’s lecture notes that eventually became this book have had a loyal following on the net for years. This should be on every quant’s shelf.