Stochastic Calculus for Finance Ii
by Steven Shreve · first published 2010
3mentions
2recommended by
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2011–2021first – last mentioned
67% recommend33% neutral
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…along the lines of what a financial engineer would know: - "Options, Futures, and other Derivatives" by John Hull (goes over basic models without delving too deeply into theoretical math aspects) - "Stochastic Calculus for Finance II" by Steve Shreve (goes over the basic stuff but has enough stats to keep a grad student happy) - "Monte Carlo Methods in Financial Engineering" by Paul Glasserman (much more practical, and goes over…
on “Good books for hackers interested in quant finance?” ↗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).
on “Offline Algorithms in Low-Frequency Trading” ↗…The discounting can also be a little confusing, but it's really just incorporating the time value of money into the calculations. [0] Oksendal B . Stochastic Differential Equations. [1] Shreve S E. Stochastic Calculus for Finance II. [2] Joshi M S. The Concepts and Practice of Mathematical Finance
on “Collection of Jupyter notebooks for quantitative finance” ↗