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Ask HN: Quantitative Textbook Suggestion for Independent Study

1 points by philip1209 14y ago

I am entering my fourth year majoring in Systems Engineering and Physics. The engineering major is concentrating on operations research, and the physics major is essentially completed. I am enrolled in a graduate engineering mathematics course this semester, but I just found out that it uses the same textbook as a prior course (Kreyszig Advanced Engineering Mathematics) and is essentially a repeat of the undergraduate course for new graduate students. My interests lie in programming applications of OR techniques that rely heavily on mathematics - like Markov chains as they relate to Google search or linear programming as it relates to Google Maps. Financial mathematics, especially modeled as solid state physics, interests me too. I am meeting with my advisor tomorrow to explore alternate areas of independent study that should concentrate on engineering (because that is the requirement I need filled). Can you suggest textbooks or courses of independent study that would suit my interests? Heavy math, optimization, and programming integration is preferred. With my academic background, you can assume I'm well-versed in calc, nonlinear DiffEQ, stats, matrix, etc.

nandemo 14y ago
If you're interested in quantitative finance (e.g. how to price an option), browse one of the introductory books listed under General here: http://quantlib.org/books.shtml http://quantlib.org/books.shtml And then if you find a topic that interests you, follow up with more specific books. See also Mark Joshi's list: http://www.markjoshi.com/RecommendedBooks.html http://www.markjoshi.com/RecommendedBooks.html
- philip1209 14y ago
  Great, thanks. At the moment, Kutner's Applied Linear Statistical Models and Winston's Introduction to Mathematical Programming have caught my eye. From your lists, Binmore's Mathematical Analysis and Rogers' Diffusions Markov Processes and Martingales seem excellent too. The difficulty is making sure that I can manage the course through independent study and that I can receive approval for it to count as an engineering course.

1 points by philip1209 14y ago

nandemo 14y ago

If you're interested in quantitative finance (e.g. how to price an option), browse one of the introductory books listed under General here: http://quantlib.org/books.shtml http://quantlib.org/books.shtml And then if you find a topic that interests you, follow up with more specific books. See also Mark Joshi's list: http://www.markjoshi.com/RecommendedBooks.html http://www.markjoshi.com/RecommendedBooks.html

philip1209 14y ago
Great, thanks. At the moment, Kutner's Applied Linear Statistical Models and Winston's Introduction to Mathematical Programming have caught my eye. From your lists, Binmore's Mathematical Analysis and Rogers' Diffusions Markov Processes and Martingales seem excellent too. The difficulty is making sure that I can manage the course through independent study and that I can receive approval for it to count as an engineering course.