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· 132 ratings · 5 reviews
Start your review of Stochastic Calculus Models for Finance II: Continuous Time Models (Springer Finance)
If not for the reason that there is no alternative, I really dislike the book. The author never says what he is doing before I have to go through a very long paragraph and figure it out myself. And he also seems to forget what he has written before. I particularly dislike the part solving stochastic PDE's when he is always like "This is the solution and now let's prove it is correct." even in the exercises. But there is no gain of conciseness. To me it seems he intentionally keeps things vague t If not for the reason that there is no alternative, I really dislike the book. The author never says what he is doing before I have to go through a very long paragraph and figure it out myself. And he also seems to forget what he has written before. I particularly dislike the part solving stochastic PDE's when he is always like "This is the solution and now let's prove it is correct." even in the exercises. But there is no gain of conciseness. To me it seems he intentionally keeps things vague to avoid being criticized for lack of rigor. ...more
If I'm going to learn stochastic calculus this rigorously, I want more in-depth treatment of Ito's lemma and the like to know how much to believe it and what the proofs really depend on.If you're not going to go full out, then why not just grab a quick primer on Ito's lemma without all the background?
(admittedly this book is probably better in that respect than just about any other finance-focused text I've seen, but still, what's the utility in the middle ground?)
If I'm going to learn stochastic calculus this rigorously, I want more in-depth treatment of Ito's lemma and the like to know how much to believe it and what the proofs really depend on.If you're not going to go full out, then why not just grab a quick primer on Ito's lemma without all the background?
(admittedly this book is probably better in that respect than just about any other finance-focused text I've seen, but still, what's the utility in the middle ground?)
...more This is the best, most readable book on this topic (though make no mistake, it is still a graduate level mathematics text). The .pdf of Shreve's lecture notes that eventually became this book have had a loyal following on the net for years. This should be on every quant's shelf. This is the best, most readable book on this topic (though make no mistake, it is still a graduate level mathematics text). The .pdf of Shreve's lecture notes that eventually became this book have had a loyal following on the net for years. This should be on every quant's shelf. ...more
The single book I have spent most time on. Steve Shreve is my professor of this course. He gives wonderful lectures. His understanding in math and finance helps a lot to understand the formulas of this book. His passion in teaching and skills in communication is truely inspiring.
Lacks depth once the author finishes borel algebras ;)) stochastic PDE is not developed in any way. Just remember Feynman-Kac and you are good to go lol
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