Stochastic Analysis


Stochastic analysis

Stochastic Processes and Stochastic Integration
Introduction to stochastic analysis.
Stochastic Calculus and Finance
Steven Shreve's Lectures on Stochastic Calculus and Finance.
Andrew Cairns's publications and preprints
Stochastic processes: learning the language, ...
Principles of Infinitesimal Stochastic and Financial Analysis by Imme van den Berg
Imme van den Berg's preprints: Principles of Infinitesimal Stochastic and Financial Analysis, On binomial expectations and option pricing, Cours de Mathématiques Financières.
Stochastic Differential Equation Information
An introductory lecture, a stochastic differential equation solver.
Data Assimilation into Nonlinear Stochastic Models
Data assimilation in models of the tropical ocean.
Random force, Brownian motion and Focker-Planck equation


Math resources

The math archive
Various WWW resources on mathematics organized by topics.



Econophysics forum
A site dedicated to Econophysics.
Quantitative Finance Server - New York University
Papers in Financial Modeling , Ph.D. Theses. The mathematics of financial risk-management [Lecture Notes].
International Financial Encyclopaedia
An interactive Financial Encyclopaedia and a Dictionary of Management and Technology.


Risk analysis

Risk Theory by Arcady A. Novosyolov
A mutilevel introduction to risk theory.
A Calculus of Risk
A physicist point of view.
The mathematics of financial risk-management
Brownian motion and Ito calculus, Ito processes, continuous-time martingales and Girsanov's Theorem, continuous-time finance, valuation of derivative securities, uncertain volatility model & worst-case scenario pricing, trinomial trees and finite-difference schemes.



Introduction to Options
An introduction to options by the International Finance & Commodities Institute.
Black & Scholes Option Model
A rapid introduction to Black & Scholes model for option pricing.


Free journals

Electronic Journal of Probability

The Electronic Journal of Combinatorics

Le Journal de Maths des Élèves (JME)
Le journal de math des eleves de l'Ecole normale superieure de Lyon.
Applied Derivatives Trading
A online magazine about all aspects of trading futures, options and other off balance sheet products.


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