Posted by **manamba13** at Feb. 25, 2015

English | 1987 | ISBN: 0387965351 | 493 Pages | DJVU | 6 MB

This book is designed for a graduate course in stochastic processes.

Posted by **ChrisRedfield** at Oct. 2, 2014

Published: 1991-08-25 | ISBN: 0387976558, 3540976558 | PDF | 470 pages | 3 MB

Posted by **ChrisRedfield** at Nov. 5, 2013

Published: 1988-12-31 | ISBN: 3540965351, 0387965351 | PDF | 470 pages | 29 MB

Posted by **Veslefrikk** at Aug. 3, 2013

Springer | 1991 | ISBN: 0387976558, 3540976558 | 470 pages | PDF | 1,9 MB

Posted by **roxul** at March 16, 2018

English | 2016 | ISBN-10: 3319310887 | 273 pages | EPUB | 4 MB

Posted by **Underaglassmoon** at June 19, 2016

Springer | Graduate Texts in Mathematics | April 29 2016 | ISBN-10: 3319310887 | 273 pages | pdf | 2.32 mb

Authors: Le Gall, Jean-François

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Posted by **hill0** at March 2, 2018

English | 11 Dec. 2017 | ISBN: 3319622250 | 644 Pages | PDF/EPUB | 12.38 MB

Posted by **roxul** at July 20, 2017

English | ISBN: 1107018390 | 2014 | 216 pages | PDF | 2 MB

Posted by **alt_f4** at Jan. 12, 2017

English | Oct. 14, 2016 | ISBN: 0387948392 | 432 Pages | PDF | 2 MB

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices.

Posted by **MoneyRich** at Sept. 24, 2014

Cambridge University Press; 1 edition | September 16, 2002 | English | ISBN: 0521890772 | 206 pages | PDF | 2 MB

This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.