Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website.
much needed missing link
By Louis Charbonneau - January 12, 2009
This is an awesome book!
It follows a non-rigorous (non measure-theoretic) approach to brownian motion/SDEs, similar in that respect to the traditional calculus textbook approach. The author provides plenty of intuition behind results, plenty of drills and generally solves problems without jumping any intermediate step.
I have read most books of the kind and this one is clearly the best. It is suitable for undergraduate education, namely in engineering and in finance. It may be a bit on the light side for maths undergrads, although could be used for a light intro to these topics.
Excellent Introduction Without the Abstract Math Approach
By C T - July 16, 2010
This is really the best introduction book on the subject matter I have ever read. If you are not a current student in shool or newly graduate with math training, or a math teacher, but have some general college math training then this book is the best introduction for you on this subject. Although I had read some basic abstract math starting with the set theory long time ago, it took me too much time to proceed in reading standard intro math to financial engineering. Thanks to the author's introduction, when I come back to those FE math it feels SO easy now.
By rajan S. - December 1, 2010
i have some familiarity regarding brownian motion. Many stochastic calculus books go into deep mathematical reasoning. I really enjoyed the authors approach to the problem. This is clearly the way one should start into the subject prior to starting an MFE program. Then after reading the book, one can read the book by sean dineen etc or other stochastic calculus books which go into more rigorous detail. This book must not be missed by any chance. It will give you an edge in MFE programs knowing this material. He has written this book in the same style as many calculus books which is very helpful. Once you master this book, you can go into a move proof based subject matter.
From the reviews of the First Edition: "This excellent book is based on several sets of lecture notes written over a decade and has its origin in a one-semester course given by the author at the ETH, ...
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is ...