Stochastic Undergraduate

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk.

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992).

Authors: Durrett, Richard
A concise treatment and textbook on the most important topics in Stochastic Processes
All concepts illustrated by examples and more than 300 carefully chosen exercises for effective learning
New edition includes added and revised exercises, including many biological exercises, in addition to restructured and rewritten sections with a goal toward clarity and simplicity
Solutions Manual available for instructors

Authors: Choe, Geon Ho
Presents the mathematical methods required for pricing financial derivatives
Encourages hands-on experience and builds intuition by explaining theoretical concepts with computer simulations
Covers mathematical prerequisites, including measure theory, ordinary differential equations, and partial differential equations