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"…on the whole, the results are presented carefully and thoroughly, and I expect that
readers will find that this combination of a careful development of stochastic calculus
with many details and examples is very useful and will enable them to apply the whole
theory confidently."
"This is a world of 'lovely exercises' that are 'very good good for the soul', 'honest
martingales', 'bedrock approximations', portfolios that are 'born to lose', 'intuitive but
bogus arguments', and 'embarrassingly crude insights'. In short, this is a book on
stochastic calculus of a different flavour. Intuition is not sacrificed for rigour nor rigour for
intuition.The main results are reinforced with simple special cases, and only when the
intuitive foundations are laid does the auhtor resort to the formalism of probability. The
coverage is limited to the essentials but nevertheless includes topics that will catch the
eye of experts (such as the wavelet construction of Brownian motion). This is one of the
most interesting and easiest reads in the discipline; a gem of a book."
"The book is indeed well written, with many insightful comments. I certainly would
recommend it to students wishing to learn stochastic calculus and its applications to the
Black-Sholes option-pricing theory…I thoroughly enjoyed reading this book. The author
is to be complimented for his efforts in providing many useful insights behind the various
theories. It is a superb introduction to stochastic calculus and Brownian motion…An
interesting feature in this book is its coverage of partial differential equations."
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Jenson was afforded any opportunity for exercising his art in Paris
Footnote 320
Footnote 452
Errata
p. 255
Ibun-l-abbáns and Ibun-l-abbar should read Ibn al-Abbar
p. xxviii, Footnote 254, 303, 375
Bibliothèque de l’École de Chartres should read Bibliothèque de l’École de
Chartes
p. 462, 463
The address New York: 29 West 23d St. London: 24 Bedford St., Strand
should read New York: 27 West 23d St. London: 24 Bedford St., Strand
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