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Stochastic Differential Equations: An Introduction with Applications (Universitext): An Introduction with Applications (Universitext)

By: Bernt Oksendal
Binding: Paperback
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
ISBN: 3540047581
ISBN-13: 9783540047582
Released: 15 Jul 2003
RRP: £27.99
Average Rating:

Customer Reviews

Required reading for quants and grad students - By: I. J. Clark, 01 Jul 2002
A previous reviewer described this book as having applications which are "mathematical - far from real life".

Actuallly, nothing could be further from the truth. Chapter 12, "Application to Mathematical Finance" demonstrates how techniques from stochastic calculus are used daily in industry to price & hedge financial derivatives. The Kalman-Bucy filter, described in Chapter 6, was an important component of the guidance systems used in the Apollo space program. These are very practical applications indeed!

This is quite simply one of the most accessible entry level texts I know for stochastic calculus. This is not to say the subject is easy - it isn't. However, a thorough study of this book will yield many rewards for the motivated reader.

The book does, hoever, presuppose a familiarity with probability & measure theory so one might consider having a good book on probability & measure theory close at hand, e.g. "Probability with Martingales" by David Williams.

Very good reference reading. - By: , 30 Oct 2001
I found this book very good overalll. I can recommend it only for readers that are already familiar with basic probability/measure theory. Altough it doesn#t explicitly say that, it requires some decent exposure to this subject, otherwise it becomes a bit difficult to read, & can be frustrating when trying to follow his proofs.

The author has an excellent writing style; precise, clear, strict but explanatory & descriptive at the same time.

I helped me enormously to understand stochastic PDE's.

A good book for people who love the maths behind the problem - By: , 05 Feb 2001
The book presents an introduction to stochastic differential equations, going in a very fast pace. However, it offers a complex view into the engineering of SDE's, but the applications are rather ... mathematical - far from real life.