Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been test

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, ch

Although there are many textbooks on stochastic calculus applied to finance, this volume earns its place with a pedagogical approach. The text presents a quick