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Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous
by pvitz 6y ago
Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous Time).
- pmiller2 6y agoWhat does "strong math background" mean in this context? Would the equivalent of an undergrad degree in math be sufficient, or are we talking about graduate level analysis and stats here?
- deleted 6y ago[deleted]
- potiuper 6y ago> Björk: Arbitrage Theory in Continuous Time is standard graduate stochastic calculus course material. An undergrad degree in math usually specializes in a certain track: algebra or analysis. The analysis background would be a closer fit as the material is focused on the continuous applications (not HFT) and likely have covered the introductory measure and probability theory material. The finance portion focuses on the arbitrage-risk neutral model that is at least a semester worth a material.
- kgwgk 6y agoI think that given the question about "how these instruments work in some depth" Hull is more appropriate.
- JimBlackwood 6y agoThis was indeed what I was getting at! Good to have a Stochastic book recommendation anyway, might also be i teresting. :)