Stochastic calculus reading list

Posted: April 9, 2010 in Uncategorized

In this week’s reading list, I chose to focus on stochastic calculus:
  1. Elementary Stochastic Calculus with Finance in View” by Mikosch
  2. Stochastic Calculus and Financial Applications” by Steele
  3. Financial Calculus: An Introduction to Derivative Pricing” by Baxter
  4. An Introduction to the Mathematics of Financial Derivatives” by Neftci – Probably the best book on the list in my opinion!
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