Timeline for How do I learn the stochastic calculus of Poisson processes?
Current License: CC BY-SA 3.0
12 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 22, 2017 at 22:15 | vote | accept | user357269 | ||
| Mar 22, 2017 at 5:49 | history | tweeted | twitter.com/StackQuant/status/844425678833496064 | ||
| Mar 21, 2017 at 14:06 | answer | added | nbbo2 | timeline score: 3 | |
| Mar 20, 2017 at 17:50 | comment | added | Gordon | Another good one, IMHO, is chapters 8-11 of the book "mathematical methods for financial market" by Jeanblanc et al. | |
| Mar 20, 2017 at 17:44 | comment | added | user357269 | @Gordon: I tried to exclude Shreve in my question, but I guess I should've written chapter 11 ;) | |
| Mar 20, 2017 at 17:43 | comment | added | user357269 | @noob2: I've read Privault's notes and I think they're great. It doesn't go into enough depth, however | |
| Mar 20, 2017 at 17:42 | comment | added | user357269 | @LocalVolatility, thank you this seems to be exactly what I was looking for! | |
| Mar 20, 2017 at 17:29 | comment | added | Daneel Olivaw | As mentioned by Gordon, chapter 11 of Shreve's II volume (Stochastic Calculus for Finance II: Continuous Time Models), called "Introduction to Jump Processes" is a good starting point. Then, as mentioned by LocalVolatility, Cont and Tankov's book is an option if you want to dig further into the subject. | |
| Mar 20, 2017 at 16:39 | comment | added | Gordon | The last chapter of Shreve's second volume is a good start. | |
| Mar 20, 2017 at 16:21 | comment | added | nbbo2 | A Chapter by Nicolas Privault gives a brief introduction to the Stochastic Calculus of Jump Processes ntu.edu.sg/home/nprivault/MA5182/… | |
| Mar 20, 2017 at 15:48 | comment | added | LocalVolatility | I found the book by Cont and Tankov "Financial Modelling with Jump Processes" very useful. | |
| Mar 20, 2017 at 15:34 | history | asked | user357269 | CC BY-SA 3.0 |