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August 12th, 2009, 04:39 PM   #1
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Ito's Lemma

Hi,

I was looking for a forum to ask this question. I am studying Brownian motion and the Black-Scholes formula in textbooks for an Actuary exam.

Where is the best place to get an introduction to "Ito's lemma" and stochastic calculus.

I tried using wikipedia it is all very confusing and overwhelming.

Thanks
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August 12th, 2009, 08:08 PM   #2
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Welcome to the forum, bgBear. A lot of people go to amazon.com to look for such books. If you type in It? calculus for book search, it will give you this. Click on a book, and if you are looking for different ones, they are available for you to look. I hope you don't mind the cost of the books, but those books shouldn't be that bad to buy.
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August 13th, 2009, 09:40 AM   #3
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Quote:
Originally Posted by bgBear
I was looking for a forum to ask this question. I am studying Brownian motion and the Black-Scholes formula in textbooks for an Actuary exam.

Where is the best place to get an introduction to "Ito's lemma" and stochastic calculus?
We have a Math Books and Math Ebooks forum, which is probably the best place for this question.

Don't the texbooks you're already using make any suggestions? You may get some help from this website and this book excerpt.
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