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Stochastic Calculus Books

There are many online resources where you can find free Stochastic Calculus books to download in PDF format, including online textbooks, ebooks, lecture notes, and more, covering basic, beginner, and advanced concepts for those looking for an introduction to the subject or a deeper understanding of it.

Stochastic Calculus by Michael R. Tehranchi

This PDF covers the following topics related to Stochastic Calculus : A possible motivation: diffusions, Brownian motion, Stochastic integration, Applications to Brownian motion, Stochastic differential equations.

Author(s):

s 93Pages

Stochastic Calculus for Finance by Gautam Iyer

This PDF covers the following topics related to Stochastic Calculus for Finance : Introduction, Brownian motion, Scaling limit of random walks, A crash course in measure theoretic probability, A first characterization of Brownian motion, The Martingale Property, Stochastic Integration, Motivation, The First Variation of Brownian motion, Quadratic Variation, Construction of the Ito integral, The Ito formula, A few examples using Ito’s formula, Review Problems, The Black Scholes Merton equation, Multi-dimensional Itô calculus, Risk Neutral Measures, The Girsanov Theorem, Risk Neutral Pricing, The Black-Scholes formula.

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s 55Pages

Stochastic Calculus Lecture Notes

This note covers the following topics: Discrete probability, Forward and Backward Equations for Markov chains, Martingales and stopping times, Continuous probability, Integrals involving Brownian motion, The Ito integral with respect to Brownian motion, Path space measures and change of measure.

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s NAPages