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.

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).

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.