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Stochastic Calculus for Finance by Gautam Iyer
This PDF covers the following topics related to Stochastic Calculus for Finance : Introduction, Brownian motion, Scaling limit of random walks, A crash course in measure theoretic probability, A first characterization of Brownian motion, The Martingale Property, Stochastic Integration, Motivation, The First Variation of Brownian motion, Quadratic Variation, Construction of the Ito integral, The Ito formula, A few examples using Ito’s formula, Review Problems, The Black Scholes Merton equation, Multi-dimensional Itô calculus, Risk Neutral Measures, The Girsanov Theorem, Risk Neutral Pricing, The Black-Scholes formula.
Author(s): Gautam Iyer
55 Pages 
Stochastic Calculus by Michael R. Tehranchi
This PDF covers the following topics related to Stochastic Calculus : A possible motivation: diffusions, Brownian motion, Stochastic integration, Applications to Brownian motion, Stochastic differential equations.
Author(s): Michael R. Tehranchi, University of Cambridge
93 Pages
Stochastic Calculus for Finance by Gautam Iyer
This PDF covers the following topics related to Stochastic Calculus for Finance : Introduction, Brownian motion, Scaling limit of random walks, A crash course in measure theoretic probability, A first characterization of Brownian motion, The Martingale Property, Stochastic Integration, Motivation, The First Variation of Brownian motion, Quadratic Variation, Construction of the Ito integral, The Ito formula, A few examples using Ito’s formula, Review Problems, The Black Scholes Merton equation, Multi-dimensional Itô calculus, Risk Neutral Measures, The Girsanov Theorem, Risk Neutral Pricing, The Black-Scholes formula.
Author(s): Gautam Iyer
55 PagesAdvertisement
