Cálculo Estocástico (2 º Sem 2015/2016)

Bibliografia

João Guerra, Cálculo Estocástico, Notas das aulas teóricas - Texto didáctico, 2012
T. Mikosch, Elementary Stochastic Calculus with Finance in view, World Scientific, 1998
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

P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 1992
Tomas Bjork, Arbitrage Theory in Continuous Time, 3rd. Ed., Oxford University Press, 2009
I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Springer, 1991
F. Klebaner, Introduction to Stochastic Calculus with Applications, 3rd edition, Imperial College Press, 2012
Steven Shreve, Calculus for Finance II: Continuous-Time Models, Springer, 2004