Is this Stochastic Processes course suitable for me? Please comment!

[Sidharth Moktan]

I am thinking of doing an independent study in Stochastic Processes since our school does not offer such a course. I was scanning the internet and I came across this stochastic processes and mathematical finance course. I have come across a few courses that teach stochastic calc at the same level and I might do one that is similar to this if you think this is rigorous enough. I have attached the link to the course and I would greatly appreciate it if you could let me know what you think of this course.

http://www.math.upenn.edu/~strain/12ma530/BlockNotes.pdf

I am interested in working as a quant later on but I am also keeping my options open for PhD Finance and PhD Economics. Keeping in mind that I am a junior Math major who has completed Calculus 3, Linear Algebra, ODE, PDE, Probability Theory, Number Theory and Econometrics, what do you think of this course in terms of mathematical rigor (this would be important for PhD Economics)? Also, how well do you think this course would prepare me for real world trading/ financial positions? Is it stronger in either area? If you think this course is lacking, could you please suggest books/ other resources that I could use instead? I will be doing Real Analysis and Measure Theory next year. Would it be better (for quant positions) if I did a course that took a Measure Theoretic approach to Stochastic Calc instead?

Thanks in advance for your help.

 

[Daniel Duffy]

I will be doing Real Analysis and Measure Theory next year. Would it be better (for quant positions) if I did a course that took a Measure Theoretic approach to Stochastic Calc instead?

Absolutely, IMO, also

1. Lebegue integral
2. Probability spaces
3. Random processes and SDE
4. Numerical solution of SDE (!!)


Books (in increasing level of difficulty)

1. Mikosch
2. Wiersema
3. Kloeden/Platen (2 books)
4. Oksendal

5. Karatzas/Shreve


For C++
A. Duffy + Kienitz (Monte Carlo Frameworks).

Discussion of measure
http://www.wilmott.com/messageview.cfm?catid=8&threadid=95199&FTVAR_MSGDBTABLE=


//
IMO the link is not so much stochastics and not what you want.