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Ask HN: Good Book on Stochastic Differential Equations?
Hi HN,
Any recommendations on a book on stochastic differential equations?
Looking for something that is more applied and explains it to me like I took calculus years ago and hardly remember it but want to learn financial modeling with SDEs.
I was reading a book on the volatility surface but the math in there is too advanced for me.
- deleted 5y ago[deleted]
- yuuu 5y agoMaybe you should start with ordinary differential equations if you've forgotten calculus.
- countersixte 5y agoI am not an expert in SDEs (my background is machine learning) but if I wanted to dig more into the subject, this is where I personally would start. Code [1] and pdf [2] for the book are available. Simo Särkkä and Arno Solin (2019). Applied Stochastic Differential Equations. Cambridge University Press. Cambridge, UK. [1] https://github.com/AaltoML/SDE https://github.com/AaltoML/SDE [2] https://users.aalto.fi/~asolin/sde-book/sde-book.pdf https://users.aalto.fi/~asolin/sde-book/sde-book.pdf
- faizshah 5y agoThanks! Exactly what I was looking for.
- countersixte 5y agoGlad it helped. :)