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

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

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

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to