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Stoch Calc for Finance Q

  1. Aug 8, 2010 #1

    I'm studying for interviews at the big finance firms, where I hear they grill you on stochastic calculus and finance stuff.

    I'm currently studying Oksendal and Shreve, and while I can follow the applied math parts, I would like to get a firmer grasp on the pure math parts. Does any one know what subject Borel spaces and sigma algebras fall under, and recommend any books on the subject.

  2. jcsd
  3. Aug 8, 2010 #2
    Measure theory and probability. There are lots of free introductory materials online waiting for you to google.
  4. Aug 9, 2010 #3
    Yes and no. If you don't have deep background on SDE's, then they are likely to see if you know what Ito's lemma is and then grill you on whatever you did your Ph.D. research on.

    Something I'd read up on is measure theory and maybe something on markov processes. Also, if you are a physics geek, then it might help if you read up on some very basic statistics and econometrics.

    The other thing that will help you is the format of the interview. What will happen is that you will be asked increasingly difficult questions until you get to something that you don't know. What people are interested in seeing is both the limit of your knowledge, but also how you react when you hit your limits.
  5. Aug 9, 2010 #4
    Hi there, Iforgot.

    I do not want to hijack your thread but I am curious to know how you are finding those textbooks? My expertise is in graph theory - when I began considering jobs in finance I had thought this would serve me well, now I don't really think so. Graph theory is math, but it isn't really complicated. I am not sure how much my applications in data mining will help.. May I ask where your own background lies? I wonder how much self-studying will be 'accepted' - obviously I am taking a similar approach to you and learning whatever I can about related topics, I just hope not using this material in a professional capacity will pose no disadvantage.

    Good luck with any interviews.

  6. Aug 9, 2010 #5
    It's ok to hijack. I'll forgive you.

    I found these text books through friends in my program, who found out through their connections.

    I just finished my PhD in physics.

    Accepted self studying: I've seen it take people a long way. Personally, I haven't taken it anywhere yet.
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