Baruch MFE Any recommended book for self-study of Stochastic process

[Hui Huang]

I check the thread "Master reading list for quants, MFE students" and there are some math related books, such as Dr.Dan Stefanica's book, A Primer for the Mathematics of Financial Engineering (+ Solutions Manual).

So for preparing the MFE program purpose, do we need read any other book specific to stochastic process or starting with the primer book would be more suitable?

Also any recommended stochastic process books that are related to financial engineering?

Any comment is welcomed

 

[Anthony DeAngelis]

Bionic Turtle has a lot of videos and stuff online. I use them pretty frequently.


Not sure how useful it might be in this instance. I would check out Youtube since they have a lot of online classes and instruction on there. Might help fill in the blanks when reading the book just doesn't cut it.

 

[ysmith]

Basic Stochastic Process by Brzezniak and Zastawniak is really good in my opinion as an introduction. Once you have that it's not hard to get into the more complicated stuff

 

[Hui Huang]

Thanks,Anthony and ysmith.:D

Any input from the admission committee ?

 

[ThinkDifferent]

this is the best introductory book in my opinion

Elementary Stochastic Calculus With Finance in View - Thomas Mikosch: Books

 

[rajanS]

hi

brownian calculus...imo...should get you going