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

Michael Steele "An Introduction to Stochastic Integration" by K.L. In this post, I will try to summarize a few .. Read blog posts on Monte Carlo Simulation & Stochastic Calculus: The Ladies Love It! Steven Shreve's books on Stochastic calculus (Volume I + Volume II) are amazing in terms of breadth. In Volume II, the author introduces all the concepts needed to build a financial model in continuous-time. Stochastic Analysis and Applications: The Abel Symposium 2005. On Wall Street Oasis, the largest finance industry social network and web community. "Stochastic Calculus and Financial Applications" by J. Something on numerical methods. Nice post, read through it while my proff was giving us applications of BM, ironically enough. Handbook of Stochastic Analysis and Applications (Statistics: A. One of the first techniques that need to be learnt is the application of Ito's lemma for a process with jumps. I'm a pure math major as well, going into who knows what in something quant-finance-y. Basic intuition is built in Volume I using a discrete-time binomial asset pricing model. That's awesome (speaking as a Big10 fan).