Cálculo Estocástico (2 º Sem 2017/2018)

Bibliografia

João Guerra, Stochastic Calculus - Lecture Notes, Lecture Notes - Iseg, 2016
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

T. Mikosch , Elementary Stochastic Calculus with Finance in view , World Scientific, 1998
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