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Stochastic Calculus and Financial Applications J. Michael Steele
Publisher: Springer

That's awesome (speaking as a Big10 fan). I'm a pure math major as well, going into who knows what in something quant-finance-y. Handbook of Stochastic Analysis and Applications (Statistics: A. The Radon-Nikodym derivative, the Cameron-Martin-Girsanov The models presented in Financial Calculus are abstractions, and obviously any real-world application would need to address a whole range of issues not considered: the assumption of liquidity, counter-party risks, and so forth. On Wall Street Oasis, the largest finance industry social network and web community. Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito's formula and stochastic differential equations. Publisher: Springer Language: English ISBN: 0387950168 Paperback: 344 pages Data: Jun 2003 Format: PDF Description: The Wharton School course on which the. Stochastic Analysis and Applications: The Abel Symposium 2005. Nice post, read through it while my proff was giving us applications of BM, ironically enough. Read blog posts on Monte Carlo Simulation & Stochastic Calculus: The Ladies Love It!