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- 8/18/14
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I often get asked stochastic calculus questions, and I read the book by Baxter and Rennie, and it's not helpful in that context.
In the interviews, they just want you to manipulate correlated processes, various stochastic integrals, different SDEs...
Does anyone know any good books/materials to practise applying basic Stochastic Calculus techniques?
thanks!
In the interviews, they just want you to manipulate correlated processes, various stochastic integrals, different SDEs...
Does anyone know any good books/materials to practise applying basic Stochastic Calculus techniques?
thanks!