Ali’s blog

Mostly quant stuff with occasional digressions

Dan Stefanica’s book: first impressions

Posted by alifinmath on April 18, 2008

Okay, I now have the book in my hands. My first impression (albeit superficial) is that it’s what I expected it to be: a one-stop shop for all the pre-req math one needs for an MFE program. I particularly like the way the math has been interwoven with applications to finance (bond pricing, Black-Scholes formula, and in particular, the Black-Scholes PDE).

The one quibble I have is that the discussion of probability is skimpy. For teaching non-measure-theoretic-probability, I’d use Meester’s “A Natural Introduction to Probability,” published by Birkhauser (or Ross’s book, “A First Course in Probability,” cited in the references provided in DS’s book). For measure-theoretic probability, I’d use the Capinski and Kopp book (also cited by DS), and/or relevant sections in Shreve’s second volume.

For applied math in general, and numerical solutions to PDEs specifically, I’d refer to Gilbert Strang’s recently published, “Computational Science and Engineering.” And before I forget, his book on calculus is a one-stop shop for all the basic calc (short of ODEs and PDEs) a quant is likely to need (Strang is a master pedagogue).

(Also posted at the Quantnet site)

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