TY  - BOOK
AU  - Arguin, Louis-Pierre
TI  - First course in stochastic calculus
T2  - Pure and applied undergraduate texts,
SN  - 9789349750784
U1  - 519.21  
PY  - 2025///
CY  - India
PB  - Universities Press
KW  - Stochastic analysis
KW  - Calculus
KW  - Stochastic processes
KW  - Probability theory and stochastic processes
KW  - Mathematical finance
KW  - Derivative securities
N1  - Includes bibliographical references and index; Readership: Undergraduate and graduate students interested in advanced probability and the applications of stochastic calculus to finance. Finance professionals who want to develop their knowledge and intuition of stochastic calculus
N2  - A First Course in Stochastic Calculus is a complete guide for advanced undergraduate students to take the next step in exploring probability theory and for master's students in mathematical finance who would like to build an intuitive and theoretical understanding of stochastic processes. This book is also an essential tool for finance professionals who wish to sharpen their knowledge and intuition about stochastic calculus.

Louis-Pierre Arguin offers an exceptionally clear introduction to Brownian motion and to random processes governed by the principles of stochastic calculus. The beauty and power of the subject are made accessible to readers with a basic knowledge of probability, linear algebra, and multivariable calculus. This is achieved by emphasizing numerical experiments using elementary Python coding to build intuition and adhering to a rigorous geometric point of view on the space of random variables. This unique approach is used to elucidate the properties of Gaussian processes, martingales, and diffusions. One of the book's highlights is a detailed and self-contained account of stochastic calculus applications to option pricing in finance
UR  - https://www.ams.org/bookstore/pspdf/amstext-53-toc.pdf?_gl=1*1b8949p*_ga*NzkyMDE0ODczLjE3NTAwNDYzMjU.*_ga_26G4XFTR63*czE3NTAwNDYzMjQkbzEkZzEkdDE3NTAwNDg3MjAkajU0JGwwJGgw
UR  - https://www.goodreads.com/book/show/59092289-a-first-course-in-stochastic-calculus?ref=nav_sb_ss_1_13#CommunityReviews
ER  -