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Stochastic Differential Equations: An Introduction with Applications (Universitext) | 
 enlarge | Author: Bernt Oksendal
Publisher: Springer
Category: Book
List Price: $49.95
Buy New: $33.00
You Save: $16.95 (34%)
New (25) Used (12) from $31.00
Avg. Customer Rating:  22 reviews
Sales Rank: 50586
Media: Paperback
Edition: 6th
Number Of Items: 1
Pages: 374
Shipping Weight (lbs): 1.3
Dimensions (in): 9.1 x 6.1 x 0.9
ISBN: 3540047581
Dewey Decimal Number: 519.2
EAN: 9783540047582
ASIN: 3540047581
Publication Date: June 12, 2007
Availability: Usually ships in 1-2 business days
Condition: International edition. Paperback. Different cover but same text .
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Product Description
This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided.
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| Customer Reviews: Read 17 more reviews...
 Very good book September 19, 2008
With this book you'll impress a potential employer how deep your knowledge of stochastic calculus is. The book has proposed problems with some hints for the solutions. Solving the problems will make you an SDE guru.
A bit dense for non-Math Quants...but worth pursuing April 12, 2008
1 out of 1 found this review helpful
If you aren't a bit of a Math wonk, this book can be a bit daunting. But it is worth wading through the Math if you want to understand the "WHY" behind all those formulas and results. If you are looking for a gentler introduction and the "real formulas" Quants use, check out Paul Wilmott's books.
The text generally starts with an intuitive example for the chapter and then starts methodically working through the underlying mathematics to get to the meaty results. The exercises are worth the effort as they reinforce the chapter work and offer additional insights.
The best book for a first grad course on Stochastic Calculus. November 28, 2007
Oksendal is not as formal as KS, Karatzas and Shreve (Brownian Motion and Stochastic Calculus), but it is easier to follow. The exercises in the first five chapters are very informative. Exercises in last chapters are more difficult (as they should be). After studying by this book, you may want to go deeper by using KS.
A very good book! July 5, 2007
2 out of 2 found this review helpful
I read this book after I had read Karatzas' and Shreve's book "Stochastic Calculus..." and it is probably better to do it the other way round. The mathematical prerequisites are not high, however a good intuitive understanding of measure theory is probably necessary. The pace of the book is leasurely, the proofs are such, that pencil and paper is rarely needed, however no rigor is lost.
The book quickly moves to interesting applications of the theory, which is motivated very well.
It contains a few typographical errors, mostly in the last chapter, and mostly of a harmless nature.
With the necessary mathematical background, it seems to be an ideal introduction to this highly interesting topic of stochastic differential equations!
Excellent introduction on Stochastic Differential Equations May 8, 2007
2 out of 2 found this review helpful
A well written book in Mathematics
Stochastic Differential Equations is a branch of mathematics. This book is not just for financial derivatives analysis or modeling. Oksendal first introduces the subject by raising a few stochastic problems (population growth; electric charge in RLC circuit; filtering problems, Dirichlet problems; asset management; optimal portfolio and options pricing) in the first chapter. The subsequent chapters develop notions and techniques which are able to solve wide varieties of stochastic problems (not just those mentioned in the first chapters). The arrangement is impressive in particular for readers who have no previous knowledge about the subject. The readers at least know the target for developing the techniques and would not lose the way when manipulating tons of symbols. Hints and answers to selected problems are invaluable to students for self-study.
To achieve a sound background on stochastic equations is extremely important especially in quantitative finance. It is not an easy job however. QF students may consider going through this book before seriously take Shreve's books on Stochastic Calculus for Finance.
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