Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been test

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, ch

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction