I plan to learn Shreve Vol. 2 by self-study.
Question: What is the (math),pre-requisite for this book? Calculus and calculus-based probability?
Any good math book to recommend for pre-requisites?
Real analysis, measure theory, measure theoretic probability, functional analysis
Well- yeah, to learn stochastic calculus at a measure-theoretic level, you will need to learn Operator Theoretic aspects of Ergodic Theory, Galois Theory and Cohomology (abelian groups from a cochain complex)
I think the OP is asking for a general background... which I would say is a good calculus-based probability course and matrix algebra with some exposure to proofs.
the problem of modeling is not a question of techniques, learning cohomology is the most st'up'id idea I have ever heard
if you are not able to model the stock market, it is not because you don't have the tools, it's because you are not making the right modeling assumptions
I plan to learn Shreve Vol. 2 by self-study.
Question: What is the (math),pre-requisite for this book? Calculus and calculus-based probability?
Any good math book to recommend for pre-requisites?
I would be cautious about the plan of reading Shreve Vol. 2 by self-study. My first degree was in math. I would recommend more applied books but going to books like Shreve only as when needed. In the end, it is more important to understand economics and finance than math.
LOL this is so stoopid. quant finance is applied math, not economics or finance. And Shreve vol 2 is not rigorous at all.
I plan to learn Shreve Vol. 2 by self-study.
Question: What is the (math),pre-requisite for this book? Calculus and calculus-based probability?
Any good math book to recommend for pre-requisites?I would be cautious about the plan of reading Shreve Vol. 2 by self-study. My first degree was in math. I would recommend more applied books but going to books like Shreve only as when needed. In the end, it is more important to understand economics and finance than math.
I plan to learn Shreve Vol. 2 by self-study.
Question: What is the (math),pre-requisite for this book? Calculus and calculus-based probability?
Any good math book to recommend for pre-requisites?
Real Analysis at the level of Rudin plus measure theory (introductory level) + Probability at the level of, say, Resnick.
The book is quite readable. I am not in quant finance, but macro, so I read like the first chapters.
given what i read from top macro/finance people, none of them (except a handful) understand measure theoretic probability
A personal observation: economists don't like contributions that go too far away from what was published, accepted in the literature. This would mean to be rigorous (from an econ point of view), but the fact is that mathematicians don't do it this way. You can have probabilistic approaches to algebra or whatever technique works to give you the proof.