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Title: Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by L. C. G. Rogers, David Williams ISBN: 0-521-77594-9 Publisher: Cambridge University Press Pub. Date: 13 April, 2000 Format: Paperback Volumes: 1 List Price(USD): $42.00 |
Average Customer Rating: 5 (2 reviews)
Rating: 5
Summary: A Great Book
Comment: This is a great book. It is not difficult to read. The style is very informal and at times actually humourous. It does not follow the definition-lemma-proof way of doing things at the expense of leaving simple definitions out, but these can be easily found somewhere else. The book contains an enormous amount of information, and the authors are clearly men of great knowledge and depth. The book is very nicely produced (from a 1st edition) by Cambridge U Press. Very clearly printed, and at a low price for the volume. I highly recommend both volumes to anyone who works in stochastic processes, or mathematical finance (assuming one wants to learn things, rather than just talk about them).
Rating: 5
Summary: Excellent Treatment of Theory of Diffusion, Martingales, Ito
Comment: Although not an easy read, this book contains a wealth of information on diffusion, martingales and Ito calculus. Reading difficulty is comparable to Karatzas/Shreve. Mastery of topics included enables the reader to get understanding of most of the current research papers in this field.
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Title: Stochastic Differential Equations: An Introduction With Applications by B. K. Ksendal, Bernt Ksendal, Bernt Oksendal ISBN: 3540047581 Publisher: Springer-Verlag Pub. Date: 01 December, 2003 List Price(USD): $44.95 |
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Title: Probability With Martingales (Cambridge Mathematical Textbooks) by David Williams ISBN: 0521406056 Publisher: Cambridge University Press Pub. Date: 01 July, 1991 List Price(USD): $40.00 |
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Title: Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, Vol 113) by Ioannis Karatzas, Steven E. Shreve ISBN: 0387976558 Publisher: Springer-Verlag Pub. Date: 20 June, 1997 List Price(USD): $59.95 |
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Title: A Probability Path by Sidney I. Resnick ISBN: 081764055X Publisher: Birkhauser Boston Pub. Date: 21 December, 1998 List Price(USD): $64.95 |
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Title: Analysis of Financial Time Series by Ruey S. Tsay, Ruey S. Tsay ISBN: 0471415448 Publisher: Wiley-Interscience Pub. Date: 15 October, 2001 List Price(USD): $99.95 |
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