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Stochastic Calculus and Financial Applications J. Michael Steele
Publisher: Springer

RC96: Louis B Rall and George F Corliss, An introduction to automatic differentiation, SIAM: Computational Differentiation: Techniques, Applications and Tools (1996), 1-18. Basic intuition is built in Volume I using a discrete-time binomial asset pricing model. One of the first techniques that need to be learnt is the application of Ito's lemma for a process with jumps. In Volume II, the author introduces all the concepts needed to build a financial model in continuous-time. Stochastic Calculus and Financial Applications J. Stochastic calculus and financial applications, depositfiles.com, Stochastic calculus and financial applications. Real markets do not meet the typical .. Steven Shreve's books on Stochastic calculus (Volume I + Volume II) are amazing in terms of breadth. In this post, I will try to summarize a few .. Depositfiles.com Date: 14 Feb 2009, 07:26 J. Stochastic calculus techniques[KS01] (such as Brownian Motion, Levy Processes[App04], Wiener Processes or the Ito Calculus[Ste03b,Ste03a]) are not the only abstraction useful in thinking about financial markets.