Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

I need of a undergraduate guide level to study stochastic process with finances. Starting from a review of probability theory. Eg books, papers or posts. I'll apreciate some help.

share|improve this question

3 Answers 3

You should take a look at the two volume series, Stochastic Calculus for Finance by Steven Shreve.

The first volume discusses mathematical finance for discrete processes, while the second develops the theory for continuous processes, including a treatment of the general theory of Ito calculus.

share|improve this answer

I am doing a undergraduate Stochastic Analysis and Its Applications(for finance mostly), and the recommended text are: 1) D.Williams Probabilty with Martingales 2) A.Etheridge A course in Financail Calculus 3)B.Okasendal Stochastic Differential Equations: An Introduction with Application. And I think Probability Essentials by J.Jacod & P.Protter is a good book for quick review of probability theory.

share|improve this answer

You need to learn a bit of measure theory. Since I am sure that they will discuss about sigma algebras and stuffs like that. Use Royden book as a ref. Also this one is good : Klebaner F.C. Introduction to stochastic calculus with applications

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.