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0 pointspvitz3y ago0 comments

I would also suggest to forget about Hull and Wilmott and would suggest to start with the excellent book by Shreve: "Stochastic Calculus for Finance. Volume II: Continuous Time Models".

Then, you can quickly read Bjoerk, work through Brigo/Mercurio (if you like that style) or Andersen/Piterbarg. Alternatively, if you want to fully dive into into the subject after Shreve, Musiela/Rutkowski: "Martingale Methods in Financial Modelling" is wonderful.

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dash23y ago

I'd say that Shreve and Musiela lack rigour and are too focused on trivia, name-dropping and anecdotes. Jiao's "Infinite-dimensional methods in amassing vast bags of gold" is unsurpassed. For its coverage of Black-Scholes, I'd also recommend Schulz's "Good Grief, Charlie Brown". Sorry, everyone seemed to be doing this so I felt I should contribute too.

gcapell3y ago

I honestly can't tell exactly when the thread meandered into satire.

j / k navigate · click thread line to collapse

0 pointspvitz3y ago0 comments

I would also suggest to forget about Hull and Wilmott and would suggest to start with the excellent book by Shreve: "Stochastic Calculus for Finance. Volume II: Continuous Time Models".

0 comments

dash23y ago

gcapell3y ago

I honestly can't tell exactly when the thread meandered into satire.

j / k navigate · click thread line to collapse