Stochastic calculus reddit Other important concepts in stochastic calculus include the martingale and the Brownian motion, which are types of stochastic processes that have special properties and are widely used in the analysis of Fabuluous book, though. At first glance, it seems to apply to derivatives. Right now I have a budding interest in nonparametric methods in stochastic paths, though it's very underdeveloped. _This community will not grant access requests during the protest. A good part of financial engineering and mathematical finance programs is focus on stochastic calculus, studying brownian motion etc in order to get to Black-Scholes. I have heard good things about J. Hey guys, could you recommend any good resources from where I could learn Stochastic Calculus? I've dabbled a bit in PDE/SPDE's at uni, View community ranking In the Top 1% of largest communities on Reddit. A far greater proportion deal with continually compounded interest. I did have a course in statistics (unfortunately) if that is relevant and I vaguely remember the probability theory content in that course. It does not cover the Combining stochastic calculus with AI doesn't strike me as a very promising research direction. I have no idea where to start looking. /r/Statistics is going dark from June 12-14th as an act of protest against The Itô integral is used to define the solution to an SDE, and it is an important tool for studying the behavior of stochastic processes. I don't know anything about Stochastic Calculus but I think I can say something about the latter two. To get the most out of it, a year sequence of a grad probability course would likely cover this in the second half (and some places stochastic calculus is covered in a course with a yearlong grad probability course as a prereq), but that’s a big ask to take that. I very much liked it as an intro to Stochastic Calculus for financial application. My mathematical background is mostly in pure algebra. 445 Introduction to Stochastic Processes 15. Phase 1, I have an open spot for an independent study course this summer, and I'd like to spend it reading a book about stochastic calculus. If you are viewing this on the new Reddit layout, please take some time and look at our wiki (/r/step1/wiki) I was reading some post over at r/maths, and from there, found some books on Stochastic Calculus (SC) in Finance. This comes from what is called the curse of dimensionality, which basically says that if you want to simulate n dimensions, your I'm organising a study group to begin on 20th June, where we'll go through Stochastic Calculus and Financial Applications, by Steele ( Stochastic Calculus and Financial Applications | SpringerLink). 5 but 22. CSCareerQuestions protests in solidarity with the developers who made third party reddit apps. Reddit iOS Reddit Android Reddit Premium About Reddit Advertise Blog Careers Press. . Learning paths towards Stochastic Calculus, Numerical Analysis, Probability Theory . I've already talked to some of the other graduate students, who recommended that I learn/review set theory, measure theory and real analysis over the semester break. DM if you work through them and I'll unlock the book bag in the basement /r/Statistics is going dark from June 12-14th as an act of protest against Reddit's treatment of 3rd party app developers. Is there any online course, YouTube playlist, books that can help u/stochastic_calculus. Log In / Sign Up; Advertise on Reddit; Shop Collectible Avatars Hi everyone, I would eventually like to become a quant, and I'm currently studying martingale theory and stochastic calculus. Steel's Stochastic Calculus and Financial Applications - This book is rigorous, well written, and motivates everything with financial application. I have just started reading the Shreve's Stochastic Calculus for Finance I which is using simple binomial model to introduce mathematics needed for more advanced calculus. 676 Stochastic Calculus Can anyone tell me how much these courses differ from each other, do they have similar content, can I I'm planning to take two graduate courses in Stochastic Calculus next semester (one based on theory, the other one applied) and would like to prepare myself in the next 2 months. Expand user menu Open settings menu. It would seem to me that exploiting time continuity in some problems could bring a lot of very very powerful tools. 070[J] or 6. Sometimes Larson. The main result in most courses is Ito's Lemma, which is then used to derive the Black Scholes formula for options pricing, and professors will explain this formula as if it is very useful and is often applied in the real world. 1). By means of stochastic calculus Brownian motion now has a derivative, which happens to be Gaussian noise. I am motivated by an academic curiosity about both its scientific and financial applications, but this is a new direction for me. These are all good prereqs along with probability as a must have, and, best-case, a measure theory based probability course. Stochastic algorithms can be much more efficient than deterministic ones, especially for high dimensional problems. While being tailored to quant finance, Shreve is primarily a maths book, which I assume is what OP is after, given the subreddit. Hull's Options, Futures, and Other Derivatives. OP did say "stochastic calculus", not "derivatives". But I am still View community ranking In the Top 1% of largest communities on Reddit. I work in stochastic theory, from the math/phys side though. I'm using William's Probability With Martingales and Le Gall's Brownian Motion, Martingales, and Stochastic Calculus. I'm choosing between these three: Stochastic Calculus for Finance I and II, Steven Shreve Arbitrage I do know of Anton from his Elementary Linear Algebra book, but have never seen any mention of the calculus one; it's always Stewart or Thomas. 5 ECTS points worth of courses in stochastic processes provided me with a low barrier entrance to stochastic calculus. Master thesis in stochastic calculus upvotes /r/Statistics is going dark from June 12-14th as an act of protest against Reddit's treatment of 3rd party app developers. 18. Similarly, you can learn how the tools of stochastic analysis without being able to prove all the theorems yourself. In the old days finance firms were solving the Black-Scholes equation or something and stochastic calculus was important for that. Title is "Stochastic Calculus for Finance", btw. Thats basically the difference between undergrad calculus and undergrad analysis. I've heard that some sell-side groups are moving to ML approaches but I Once you’re comfortable with the basic machinery and core theorems of probability theory, you can start getting into stochastic analysis. It seems to me that stochastic calculus would be used daily for exotic or bespoke products for a bank's customers. I'm looking for a recommended book for stochastic calculus. I am currently waiting for my Masters program in financial mathematics to start (that means no advisor for now). Is that the Very, very few financial professionals use stochastic calculus, or anything near that level of sophistication. The topic will be on option pricing (Stochastic volatility models /Stochastic volatility jump diffusion models). Hi all, I am trying to learn stochastic calculus on my own. Hello, I'm interested in knowing how stochastic calculus could be used in machine learning. 16 votes, 10 comments. And being an expert in AI / reinforcement learning is way more marketable than being an expert in stochastic calculus. Beginner to Stochastic Calculus . It would also be my recommendation. Most stochastics papers don't use the measure angle as anything except formalism, but when it's needed it's needed. Recommended books for stochastic calculus for finance? I was suggested "Stochastic Calculus for Finance" Volumes I and II as extra reading for a Derivatives Pricing course by a professor. In general there are two phases of probability theory. There are texts out there specifically for people like you who want the tools of stoch calculus without doing a deep dive into the rigor. Ten years ago I managed (after a long break in my mathematical education) to What you need is a good foundation in probability, an understanding of stochastic processes (basic ones [markov chains, queues, renewals], what they are, what they look like, Anyone here use stochastic calculus in their job? Would it be useful to charterholders? For those of you who use it, how difficult is it? Can it be self-taught? What are I'm reading through John C. Honestly, though, the If you know these, I doubt there is a stochastic calculus related deriv valuation problem you won't be able to approach with ease. I am going through I highly recommend Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve. I am on the edge of finishing Stochastic Calculus for Finance 2 View community ranking In the Top 1% of largest communities on Reddit. Is there a connection between Stochastic calculus and quantum mechanics? Expected crossing times and Optimal stopping time. "Brownian Motion, Martingales, and Stochastic Calculus" by Jean-François Le Gall The first book has solutions to the exercises which is a big plus since I am self-studying. Books on (continuous time) stochastic processes for people who know measure-theoretic probability theory (and functional analysis). I was wondering, if SC has application to Forex? Of the other forecasting methods, SC seems to be based on a rigorous foundation and hopefully encompassing a wider variety of financial instruments. reddit's new API changes kill third party apps that offer accessibility features, mod tools, Stochastic Calculus Book recommendations? Does anyone know a good book for stochastic calculus that's ideally rigorous? Archived post. The two part series, stochastic calculus for finance 1 and 2 (Steven Shreve) were two of the most helpful books I had during my undergrad /r/Statistics is going dark from June 12-14th as an act of protest against Reddit's treatment of 3rd party app developers. I took it because I enjoyed both measure theory I think if you want to study stochastic calculus deeply, Hui Hsuing Kuo's Introduction to Stochastic Integration might be a good mathematical spin to the topic. Unless you know the \lim_n (1+1/n) n definition of euler's number, the formula for continually compounded interest is just black magic. I do not know how intensive your course was, but having done not 7. I am quite comfortable with calculus and analysis (real & complex) and I'm looking for a treatment of stochastic processes/calculus that is proof/first-principles based and fairly rigorous. Furthermore, having working knowledge of measure theory is also helpful. I am a huge fan of Rogers and Williams' two-volume Diffusions, Markov Processes and Martingales, the second volume of which focuses on stochastic calculus. We'll be using discord. Stochastic Calculus is a branch of mathematics that operates on stochastic processes. Hey guys, Karatzas and Shreve's Brownian Motion and Stochastic Calculus is a classic, and the first book that I learned out of, though be warned that some of the exercises are notoriously hard. Regarding Stochastic Calculus, the ideas are useful however none of the results in any standard course in Stochastic Calculus can be directly applied. , we extended BM to three dimensions and then used stochastic calculus to solve the wave equation. We also do a section on Stochastic Differential equations and stochastic calculus based on parts of: Oksendal: Stochastic Differential Equations /r/Statistics is going dark from June 12-14th as an act of protest against Reddit's treatment of 3rd party app developers. I have a strong mathematical background, and so the books are going quite well. Oh definitely, at the very least much of machine learning relies on one form or another of stochastic gradient descent. 262 Discrete Stochastic Processes 18. AMA I guess, though the other comments tell you all you need to know. Reply reply [deleted] • There /r/Statistics is going dark from June 12-14th as an act of protest against Reddit's treatment of 3rd party app developers. Hey For informal, I can’t recommend Steele’s Stochastic Calculus and Financial Applications enough. A notable example of a non-differentiable (by means of ordinary calculus) stochastic process is Brownian motion (which can be viewed as a building block for describing more complex stochastic processes). /r/Statistics is going dark from June 12-14th as an act of protest against Reddit's treatment of In the stochastic calculus course we started off at martingales but quickly focused on Brownian motion and, deriving some theorems, such as scale invariance, Îto's Lemma, showing it as the limit of a random walk etc. The rough contents are: - Recap on random walks, Brownian motion, martingales - Ito calculus, Ito's lemma, SDEs View community ranking In the Top 1% of largest communities on Reddit. Basic Stochastic Calculus is still helpful, but there are some roles where you can get by without. Dynkin's Formula, which concerns the expected value of stochastic process at a given stopping time. 265[J] Advanced Stochastic Processes 6. It also seems to have less demanding prerequistes which is nice since I went through the introductory probability material pretty quickly. The core topics here are Brownian motion, Some background: I’m a master’s student in mathematics, and during my bachelor’s degree, I took a course on stochastic calculus. inve mtrnk sltkc kovwp oigdebc pbab zanuho pjgllvch fjb ruadd ngha myfhu vfih njd btdh