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Stochastic Calculus and Financial Applications

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This book targets students aiming to build professional skills in stochastic calculus for finance. It assumes a basic background in probability and statistics, progressing quickly through topics like random walks, martingales, and continuous-time stochastic processes, particularly Brownian motion and the Ito integral.

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Stochastic Calculus and Financial Applications, J. Michael Steele

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2010
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