Vitali Alexeev

Literature and Links

Books

• Mikosch,T., Elementary Stochastic Calculus with Finance in View, World Scientific 1998. Based on the notes from Stochastic Calculus course he was teaching at Victoria University in Wellington.
• Fries, C.P., Mathematical Finance: Theory, Modeling and Implementation, 2006. Simple
  and intuitive, provides numerous examples and intuitive explanations.
• Steele, J.M., Stochastic Calculus and Financial Applications, Springer 2000.
• Kuo, H.-H., Introduction to Stochastic Integration, Springer 2006. (Thank you Jet)
• Tavella,D., Quantitative Methods in derivative pricing: An Introduction to Computational Finance, Wiley,
  2002. Chapter 2 (Fundamentals of Stochastic Calculus) of the book is a summary introduction to the basic elements of stochastic calculus. The material is presented in a nonrigorous way and should be
  easy to follow by anyone with a basic background in elementary calculus.
• Epps,T.W., Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, Wiley, 2009. Chapters 2 and 3 lay out some foundations.

Lecture notes

• van Handel, R., Stochastic Calculus, Filtering, and Stochastic Control, Lecture notes, Princeton University, 2007.
• Shreve, S., Stochastic Calculus and Finance, Lecture notes, 1997.
• The Mathematics of Finance, Lecture notes. (Thank you Shane)
• Varadhan,S.R.S., Stochastic Processes, Lecture notes, AMS 2007. (Thank you Mardi)
• Quastel,J., Notes for Stochastic calculus for Mathematical Finance, University of Toronto
• Bass,R., Lecture notes for Stochastic calculus, with applications to finance, PDE, and potential theory , University of Connecticut.

Schedule