iakovos


Total Posts: 1 
Joined: Jun 2021 


Looking for best books to dive into before starting an Applied Math MS. Lurking on this forum a bit helps me realize how much the industry has changed. Hard to figure out an optimal plan of study.
Is stochastic calculus still as important? What should I prioritize? My original plan was to start with Hull's OFaOD and Schreve's Stochastic Calculus for Finance I as well as maybe this book suggested in a previous thread since I am leaning towards a research role. Any thoughts or suggestions? Thank you all. 



monkeyA

Mr. Ass to you

Total Posts: 861 
Joined: Apr 2004 


It’s hard to answer your question based on the information you’ve provided, so I suggest taking a step back and considering  what are your goals from this MS? Is it a grade? A tick box exercise that lets you apply for certain roles? Are you sure about research, in which case does a PhD follow? Is Stochastic Calc on the syllabus or just touched upon in a Finance module. The only thing I can say for sure is that last book you linked to looks dull a.f 
If there was problem, Yo I'll solve it 


Shreve is a great book but it is written for mathematicians by mathematicians. One of those big yellow books with lots of references.
If you just want to get a flavor for stochastic calculus then the introductory books by Etheridge or by Baxter and Rennie would be recommended.
I also agree with monkeyA's comments. 


