 iakovos
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Total Posts: 1 |
Joined: Jun 2021 |
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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. |
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 monkeyA
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Mr. Ass to you |
Total Posts: 861 |
Joined: Apr 2004 |
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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 |
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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. |
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