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Stochastic Calculus and Financial Applications J. Michael Steele
Publisher: Springer

In the world of finance, it is not uncommon to hear about stochastic calculus or stochastic processes. Jun Shao, Mathematical Statistics. Michael Steele, Stochastic calculus and financial applications. I'm a pure math major as well, going into who knows what in something quant-finance-y. While the name may sound daunting, the concept and its application in finance is actually relatively straightforward. That's awesome (speaking as a Big10 fan). Read blog posts on Monte Carlo Simulation & Stochastic Calculus: The Ladies Love It! 1) Stochastic Calculus for Finance 2 - Continuous-Time Models, by Shreve, for basics of finance Ornithology with applications to fragility problems. Resnick, Adventures in stochastic processes. Lee, Linear regression analysis. I suppose corporate finance stuff wouldn't be too valuable? Nice post, read through it while my proff was giving us applications of BM, ironically enough. On Wall Street Oasis, the largest finance industry social network and web community. A Modern Theory of Random Variation: With Applications in Stochastic Calculus, Financial Mathematics, and Feynman Integration.