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Customer Review

on December 5, 2011
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 Øksendal 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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5.0 out of 5 stars