Need book recommendation for stochastic processes

[dagpa]

Hi,

 

I'm soon starting the last semester of my bachelor degree and plan on taking a "Introduction to mathematical finance" course. I lack some of the recommended background in statistics, so I would love to hear if anyone could recommend a book on stochastic processes. It seems as "discrete probability theory" is what I need to look into. Any suggestions anyone ?

 

My university background so far is 4 courses in math (calculus, lin.alg, applied), the rest is mainly physics, including 2 quantum mechanics courses.

 

I hope to find a book which I can spend a few weeks with this summer to learn the basic stuff, and use it as a reference whenever I get stuck in the finance course.

 

Best regards,

Dag Erlandsen

[river_rat]

I would suggest "Probability and Random Processes", by Grimmett I think, for a quick and easy intro to the basics here.

 

Its nice, starting with the basics and ending with the Ito calculus.