Free lectures on mathematics from Dr. Lawrence C. Evans

pasta2_07232006.jpg

I am participating in a summer reading course on stochastic differential equations and subsequently ran across lecture notes from Dr. Evans entitled “An introduction to stochastic differential equations“.  They give a quick introduction to statistics and Brownian motion followed by stochastic integrals including the Ito formula. Finally stochastic differential equations are introduced and their applications are given. I have only looked over the first half of this in detail and found it to be pretty reasonable. Furthermore, cheap
Dr. Evans has a larger set of available publications which include lecture notes and surveys. The semi-official book for the course is “Elementary Stochastic Caculus with Finance in View” by Mikosch (typo is reproduced from inside the front cover). A review of the book will follow later when I read more of it.

Why pasta? It reminds me of a stochastic sample set. Image was found on Musable Gourmet.

( lawrence_evans_sdes.pdf )

2 thoughts on “Free lectures on mathematics from Dr. Lawrence C. Evans

  1. Scott

    What a coincidence! I just started a summer internship at a trading firm, and we just had a guest lecture (http://www.math.uchicago.edu/~rl/) on volatility in options trading, which is pretty much Ito and “calculus with finance in view.” The math isn’t bad at all, it’s the jargon of the traders that I need to learn. These papers look a lot more fun than the book I’m reading (http://www.amazon.com/Option-Volatility-Pricing-Strategies-Techniques/dp/155738486X).

  2. nico Post author

    The meetings just started here and our main goal is to get good at the math to do some data analysis. It just happened to be that the book I mentioned was simple enough for everyone to go through. It seems that a lot of engineers are going into finance these days since the math is similar, maybe I will end up there too if the biomed plan doesn’t work out.

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