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39 of 39 people found the following review helpful
5.0 out of 5 stars Very intuitive...yet packed with maths!, 14 Aug 2001
This review is from: Elementary Stochastic Calculus, with Finance in View: 6 (Advanced Series on Statistical Science & Applied Probability) (Hardcover)
Building intuition in some maths topics can often feel like a difficult process at times so I'm glad to have stumbled across this book. As the title implies, compared to Neftci and Rennie/Baxter, this book covers less in terms of finance but focuses more on stochastic theory. It does this at a very intuitive level and yet manages to slip in a lot of (for me) advanced ideas. If you wish to begin to understand stochastic calculus, but find Oksendahls' so called introduction(!) way over your head, then I would strongly recomend this book.
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1 of 1 people found the following review helpful
5.0 out of 5 stars Little Gem, 5 Aug 2010
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This review is from: Elementary Stochastic Calculus, with Finance in View: 6 (Advanced Series on Statistical Science & Applied Probability) (Hardcover)
There really should be more mathematics (and finance) books like this. The author works hard to make sure this fundamental subject is made clear and easy to follow. Someone once said that mathematics can be expression in words, pictures, numbers or symbols and this book makes use of all of them. Sadly books on this subject often dispense with the words and pictures approach which is a shame because they give a lot of intuition. The text is well organised with lots of notes and graphs to keep you following the arguments. I also like it when he says "proof of this is beyond the scope of this book, see Appendix A for a reference", whereas a LOT of books will just leave it at "proof of this is beyond the scope of this book" which I always find insulting. It's also nice to see an author use Gauss's notation Phi() for the cumulative normal density function rather than N(). This is the only text on the subject that I know, that develops the Black-Scholes PDE then refers the reader to a classic mathematics textbook (Zauderer) for a derivation of the solution - in my opinion a great way of writing and a super reference at that point. A full solution of the B-S PDE is nice to see though, but would be out of place in an introductory work on stochastic calculus.
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5.0 out of 5 stars good very simple introduction with insight, 5 Dec 2011
This review is from: Elementary Stochastic Calculus, with Finance in View: 6 (Advanced Series on Statistical Science & Applied Probability) (Hardcover)
the author knows what he's writing about.
there are easy simple derivation of main equation of stochastic calculus. of course they can't be rigorous but you get insight into the meaning of the calculus.
the solution of pure noise, noise+drift, mean reversion equation and the clasification of stochastic equations is great, in few pages you get a full overview.
of course if you're a researche or if you're searching for a rigorous treatment this is not for you, go for shreve fo a step ahead, easy theory and derivatives pricing, or ksendal for two steps ahead on theory. I do not waht to mention shreve karatzas, if you do not have 1 year free and good math backgroud do not go into it.
anyway this is a good book simplified to be read easily. I used it many times and I'm still using it for fast reference.
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