Cálculo Estocástico (2 º Sem 2013/2014)

MF (Mathematical Finance)

Bibliografia

Principal

• David Nualart, Stochastic Calculus, Lecture Notes on Stochastic Calculus, http://www.math.ku.edu/~nualart/StochasticCalculus.pdf, 2008
• B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 6th. Edition, Springer, 2003

Secundária

• P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 1992
• D. Revuz and M. Yor , Continuous martingales and Brownian motion, Third Edition, Springer , 1999
• Tomas Bjork, Arbitrage Theory in Continuous Time, 2nd Ed., Oxford University Press, 2004
• T. Mikosch, Elementary Stochastic Calculus with Finance in view, World Scientific, 1998
• I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Springer, 1991