Stochastic calculus resource

[Forte]

Good evening everyone,

I'm currently self-studying stochastic calculus using Shreve Vol 2. Has anyone here checked out the website

Stochastic Calculus For Finance 1 & 2 Subscription

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? If so, what did you think of it?

Do you think the lecture videos on that site are rigorous enough for what’s needed on the job, or would I need something more comprehensive?

For some background, the course creator completed his MSCF from CMU in the late 90s and has 15 years of experience in finance, including about 10 years at Lehman Brothers.

I'd love to hear your thoughts on this. Thanks!

 

[Forte]

. Anyone?

 

[Paul Lopez]

The videos are excellent! I'd say they are plenty rigorous enough to get you started and get you to a solid intermediate level. You'll still need to do a lot of exercises to fully make the material part of your soul though. :D

Also you'll need to be able to implement all these ideas into code for financial models. Very exciting I hope you enjoy the journey!

 

[Daniel Duffy]

Here is a nicely balanced book on SDE by two top numerical analysts

https://epubs.siam.org/doi/10.1137/1.9781611976434

i.e. continuous space to discrete space (as it should be).