April 2012 MFE Progress Thread

[mathmajor]

I finished lessons 3 and 4 and they seemed alright. Lesson 5 has me a bit confused but I'll work through.

[kummy]

I managed to bulldoze my way through Ito's Lemma. However, it seems like I am lacking knowledge on stochastic calculus.

Does anyone have any good reads where I can actually learn what stochastic calculus is? Ito's Lemma isn't hard, I am able to solve the questions but with zero understanding on what exactly is happening.

My knowledge of statistics is limited to Exam P and the ACTEX Applied Statistics course. Should there be something else?

Thanks!

[oswaldcobblepot]

Had big plans to study Saturday and Sunday but there was no chance of that happening given the amount of soccer and football on tv. Thankfully, the NFL season has concluded so I am confident I can be productive on Sundays moving forward. I am still on track to get through ASM by the end of this month. About 11 weeks out so plenty of time to get after it.

[JohnMD]

Originally Posted by kummy

Does anyone have any good reads where I can actually learn what stochastic calculus is? Ito's Lemma isn't hard, I am able to solve the questions but with zero understanding on what exactly is happening.

I'm having the same problem. It's hard for me to take the mechanics of this stuff at face value without a solid theoretical background. If you find a good read please share!

[waterborne]

Stochastic Differential Equations by Oksendal is what I used in grad school for a course on SDEs and thought it was pretty good. It assumes a pretty high level of math background so keep that in mind. There are some other Stochastic Calc books I've heard good things about but don't have any personal experience with those.

http://www.amazon.com/Stochastic-Dif...8549436&sr=8-1

I'm almost done with Ch. 13 and hope to get through 14 in the next few days.

[kummy]

Originally Posted by waterborne

Stochastic Differential Equations by Oksendal is what I used in grad school for a course on SDEs and thought it was pretty good. It assumes a pretty high level of math background so keep that in mind. There are some other Stochastic Calc books I've heard good things about but don't have any personal experience with those.

http://www.amazon.com/Stochastic-Dif...8549436&sr=8-1

I'm almost done with Ch. 13 and hope to get through 14 in the next few days.

Not sure if you've looked through the later chapter, but if you have, would an in depth knowledge of SDEs be important for MFE?

[waterborne]

Originally Posted by kummy

Not sure if you've looked through the later chapter, but if you have, would an in depth knowledge of SDEs be important for MFE?

I'll look through them tonight but I don't think it'd be worth it. The time it would take to go through that book would be better spent just studying MFE from the text or manual.

[d45]

Chapter 26 is possibly the most interesting part of the syllabus. I suppose it is also the most difficult.

[TrojanActuary]

Originally Posted by kummy

I managed to bulldoze my way through Ito's Lemma. However, it seems like I am lacking knowledge on stochastic calculus.

Does anyone have any good reads where I can actually learn what stochastic calculus is? Ito's Lemma isn't hard, I am able to solve the questions but with zero understanding on what exactly is happening.

My knowledge of statistics is limited to Exam P and the ACTEX Applied Statistics course. Should there be something else?

Thanks!

I kind of had troubles with Ito's Lemma at first, but in a nutshell this is what it's trying to do: to use Taylor's Series to estimate the change in the dependent variable in response to a change in the independent variable.

[smwentum]

worked a whole bunch of problems from exotic options (I feel way better about that stuff now). Now I am doing MCV.