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Just ordered another book

Posted 01-25-2009 at 12:34 AM by Marid Audran
Updated 01-25-2009 at 12:41 AM by Marid Audran

I believe McDonald, Derivatives Markets, has a deserved reputation for being unclear about the probability/statistical theory. I browsed A First Look at Rigorous Probability Theory, by Jeffrey Rosenthal, at an area college library, and got a good impression. After trying to read McDonald on Ito's Lemma and related subjects today, I broke down and ordered the Rosenthal*. Mind you, I'm coming from a theoretical math background--others might not need or be interested in what's in that book.

From among the Outpost threads I've seen on these topics, this comment by ctperng about switching between arithmetic and geometric Brownian motion has been the most helpful.

* Not without reservation, because I might be within a few days of being able to check it out from that library (thanks to a part-time teaching job I just started)...but the experience of trying to understand McDonald was inspiring what they call *headdesk*, and I could wait no longer. Besides, the Rosenthal is a bargain at $25.

There really ought to be a :headdesk: smilie.
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