"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
"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
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.
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.
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.
This book is a very clear, comprehensive introduction to stochastic calculus. It is long on intuition and is particularly useful for practitioners who need to apply these concepts. Very strong in its structure, this book provides derivations, examples, exercises and a very helpful set of appendices. If only all financial engineering books were written this well!
Presentation of concepts are exceptionally clear. Explanations on nice but important points are never missed out.
The flow of the contents of the book are very well structured. The level is just right for first beginners to learn the
subject .The solutions of the exercises at the back of the book are invaluable and particularly helpful to self-study.
All in all ,this is a book which I have hoped to have for years ,having given me the momentum to study the subject ,hopefully to complete reading it seriously from start and finish ! A book highly recommended for undergraduates who
first study Brownian Motion calculus.
Product Details :
Paperback: 330 pages
Publisher: Wiley; 1 edition (December 8, 2008)
Language: English
ISBN-10: 0470021705
ISBN-13: 978-0470021705
Product Dimensions: 6.2 x 0.8 x 8.8 inches
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