Cálculo Estocástico (2 º Sem 2019/2020)

MF (Mathematical Finance)



  • B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 6th. Edition, Springer, 2003
  • David Nualart, Stochastic Calculus, Lecture Notes on Stochastic Calculus, http://www.math.ku.edu/~nualart/StochasticCalculus.pdf, 2008
  • João Guerra, Stochastic Calculus - Lecture Notes, Lecture Notes - Iseg, 2016


  • Steven Shreve, Calculus for Finance II: Continuous-Time Models, Springer, 2004
  • F. Klebaner, Introduction to Stochastic Calculus with Applications, 3rd edition, Imperial College Press, 2012
  • I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Springer, 1991
  • Tomas Bjork, Arbitrage Theory in Continuous Time, 3rd. Ed., Oxford University Press, 2009
  • T. Mikosch , Elementary Stochastic Calculus with Finance in view , World Scientific, 1998