Stochastic Calculus

[falsedave]

I have just been doing some reading and the Topic of Stochastic Calculus has come up quite a few times. This is the first time in all my forex reading I have heard it mentioned but it seems like it would be interesting to learn. I did A-level Maths( A While ago now ) so I'm familiar with calculus.

If you know about it how has it helped you in your forex trading or am I just wasting my time looking into it ?

Can anyone suggest any decent books or pretty simple introductions into Stochastic Calculus eg. Stochastic Calculus for dummies ?

[Steven Smith]

Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly.

[falsedave]

Thanks for that. How do you use it in your trading ? Is its ridiculously complicated to learn ?

[Jemook]

I came in this thread, read a few words and my brain consequently exploded.

[falsedave]

Bought a couple of books in the end - Paul Wilmott Introduces Quantitative Finance 2nd Edition and Quantitative trading - How to build your own algorithmic trading business by Ernest Chan. I'll let you know how I get on.

[themaxx]

Bought a couple of books in the end - Paul Wilmott Introduces Quantitative Finance 2nd Edition and Quantitative trading - How to build your own algorithmic trading business by Ernest Chan. I'll let you know how I get on.

Quantitative trading by Ernest Chan is an excellent and enjoyable read, although I never ended up using it. He also has an excellent blog with lots of discussion and free strategies.

http://epchan.blogspot.co.uk/

I'm looking forward to his new book.