There are not many calculus books that are very accessible to students without a strong mathematical background and the large majority of financial derivatives students do not have a strong quantitative background. This book provides a short introduction to the subject with examples of its use in mathematical finance e.g pricing of derivatives. Wiersema assumes only a basic knowledge of calculus and probability and guides the student through the book with examples and exercises (complemented by the website/disk). Wiersema has been teaching the subject for many years and the book will be based on his tried and tested course notes.
"Wiersema has written a splendid book ... focusing on the core elements of the theory in a simplistic and operational manner. The reader is gently invited into the world of Ito integration and differentiation, where the material is carefully selected to highlight how the calculus functions rather than going into all theoretical details. The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. The book is unique in its concise and inspiring style. This introduction to Brownian motion calculus is powerful, and highly recommended."
Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo
"Stochastic calculus fundamentals are covered with a high level of clarity in a consistent step-by-step manner. The book has the right blend of theory and practical applications allowing to develop a thorough understanding of the subject and to build a solid foundation for the future hands-on work."
Michael Zaidel, Senior Analyst - Quantitative Analytics, Toronto Dominion Bank Financial Group
"The clear and open explanation of concepts combined with the many useful examples make this an invaluable reference both for students and professionals who need to gain an intuitive grasp and solid understanding of this vital subject. Wiersema's approachable style is sure to become a favourite amongst practitioners as it has amongst his students."
Andrew Scourse, structured finance professional in a global bank
"Ubbo's book is an extremely clearly written introduction to the important topic of applied stochastic calculus. In particular, it contains many illustrative worked-out examples and applications. This is a very well-balanced and structured guided-tour through the subject, where every step is carefully motivated and explained. Students will love this book!"
Thorsten Rheinlander, Reader, London School of Economics