Very concise introduction/summary of stochastic calculus needed for finance

Jurassic · Post by **Jurassic** » Fri Mar 22, 2019 9:03 pm

I need a quick way to revise the stochastic calculus needed for finance?

Anyone know of any good sources, preferably less than 20-30 pages?

Essentially does anyone know of anything better than this? http://quantum.phys.cmu.edu/QIP/ito_calculus.pdf

athletico · Post by **athletico** » Fri Mar 22, 2019 9:41 pm

About 10x the number of pages you are looking for but I urge you to buy Baxter and Rennie It is a very concise but clear intro to stoch calc methods in finance.

nikol · Post by **nikol** » Fri Mar 22, 2019 11:17 pm

i have seen something shorter, but anyway.

http://www.johnboccio.com/research/quantum/notes/sde.pdf

Jurassic · Post by **Jurassic** » Sun Mar 24, 2019 10:34 am

For anyone else who wants the answer to this, http://www.columbia.edu/~mh2078/ContinuousFE/stochastic_calculus.pdf