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Review
"Wiersema has written a splendid book … focusing on the core elements of the theory in a simplistic and operational manner. The reader is gently invited into the world of Ito integration and differentiation, where the material is carefully selected to highlight how the calculus functions rather than going into all theoretical details. The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. The book is unique in its concise and inspiring style. This introduction to Brownian motion calculus is powerful, and highly recommended."
–Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo
–Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo
"Stochastic calculus fundamentals are covered with a high level of clarity in a consistent step–by–step manner. The book has the right blend of theory and practical applications allowing to develop a thorough understanding of the subject and to build a solid foundation for the future hands–on work."
–Michael Zaidel, Senior Analyst – Quantitative Analytics, Toronto Dominion Bank Financial Group
"The clear and open explanation of concepts combined with the many useful examples make this an invaluable reference both for students and professionals who need to gain an intuitive grasp and solid understanding of this vital subject. Wiersema′s approachable style is sure to become a favourite amongst practitioners as it has amongst his students."
–Andrew Scourse, structured finance professional in a global bank
"Ubbo′s book is an extremely clearly written introduction to the important topic of applied stochastic calculus. In particular, it contains many illustrative worked–out examples and applications. This is a very well–balanced and structured guided–tour through the subject, where every step is carefully motivated and explained. Students will love this book!"
–Thorsten Rheinlander, Reader, London School of Economics
Product Description
Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website.
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Customer Reviews
Most Helpful Customer Reviews
1 of 1 people found the following review helpful
Format:Paperback
This book provides much clarity and solidification of ideas for dealing with BM and stochastic calculus in general. It does not go into huge amounts of detail but provides a solid basis for getting started in this field. Well paced and clear, with many examples and many solved exercises. I don't use it for rigour but I use it often when I need an clear example of a specific concept. This is one of the only books in this field where the author truly assumes little knowledge beyond basic probability and is not trying to be another tediously rigorous academic. The author tends to cut through much of the scary looking background noise associated with more academic books and shows why stochastic calculus doesn't need to be hard or imposing (it is in fact neither - when taught well!). This is an entry level book but it's wonderful for explaining the important concepts so the reader can actually then take on a more academic book with less fear.
Format:Paperback
Good summary of key concepts. Main fault is it has a tendency to make baffling leaps of logic, which I found very frustrating. For example, Ito's formula is quoted on page 76 but is rarely used in the examples (Taylor expansion being preferred for no apparent reason). When it is used (see page 137) it is hard to see how the results can be derived from the formula.
It's almost as if you need to know the derivations before reading the book, which defeats the purpose of buying the book.
It's almost as if you need to know the derivations before reading the book, which defeats the purpose of buying the book.
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
8 reviews
18 of 18 people found the following review helpful
much needed missing link
13 Jan 2009
Format:Paperback
This is an awesome book!
It follows a non-rigorous (non measure-theoretic) approach to brownian motion/SDEs, similar in that respect to the traditional calculus textbook approach. The author provides plenty of intuition behind results, plenty of drills and generally solves problems without jumping any intermediate step.
I have read most books of the kind and this one is clearly the best. It is suitable for undergraduate education, namely in engineering and in finance. It may be a bit on the light side for maths undergrads, although could be used for a light intro to these topics.
It follows a non-rigorous (non measure-theoretic) approach to brownian motion/SDEs, similar in that respect to the traditional calculus textbook approach. The author provides plenty of intuition behind results, plenty of drills and generally solves problems without jumping any intermediate step.
I have read most books of the kind and this one is clearly the best. It is suitable for undergraduate education, namely in engineering and in finance. It may be a bit on the light side for maths undergrads, although could be used for a light intro to these topics.
10 of 10 people found the following review helpful
Excellent Introduction Without the Abstract Math Approach
16 July 2010
Format:Paperback
This is really the best introduction book on the subject matter I have ever read. If you are not a current student in shool or newly graduate with math training, or a math teacher, but have some general college math training then this book is the best introduction for you on this subject. Although I had read some basic abstract math starting with the set theory long time ago, it took me too much time to proceed in reading standard intro math to financial engineering. Thanks to the author's introduction, when I come back to those FE math it feels SO easy now.
4 of 4 people found the following review helpful
excellent introduction
2 Dec 2010
Format:Paperback
i have some familiarity regarding brownian motion. Many stochastic calculus books go into deep mathematical reasoning. I really enjoyed the authors approach to the problem. This is clearly the way one should start into the subject prior to starting an MFE program. Then after reading the book, one can read the book by sean dineen etc or other stochastic calculus books which go into more rigorous detail. This book must not be missed by any chance. It will give you an edge in MFE programs knowing this material. He has written this book in the same style as many calculus books which is very helpful. Once you master this book, you can go into a move proof based subject matter.
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