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In grad school, I used "Stochastic Calculus for Mathematical Finance II" by Shreve. Its pretty rigorous/technical (don't bother with volume I, imo). I don't kn
by snicker7 6y ago
In grad school, I used "Stochastic Calculus for Mathematical Finance II" by Shreve. Its pretty rigorous/technical (don't bother with volume I, imo).
I don't know of any decent books on estimating parameters for SDE's. Though I suppose one way of going about it is as follows: convert the SDE to a discrete time series using Euler method and use maximum likelihood estimation.