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(boost test, google test, ...) Good idea. A concern for me is which Boost libraries are alive and kicking; some are on sabbatical, rigor mortis etc. https://www.boost.org/doc/libs/1_34_1/libs/test/doc/index.html

C++ is a C++ is a living organism. We try to keep up. What Boost C++ libs do in 2016 C++ 26 does in 2026 (Reflection).

All this stuff has been extensively documented. I think having a look at the work of the late Mark Joshi is good https://fbe.unimelb.edu.au/__data/assets/pdf_file/0011/2591732/MARK_JOSHI_SSRN-id2277854.pdf

Do you mean? BinomialLatticeStrategy* getStrategy(double sig, double r, double k, double S, double K, int N) { cout << "\n1. CRR, 2. JR, 3. TRG, 4. EQP, 5. Modified CRR:\n6. Cayley JR Transform: 7 Cayley CRR: "; int choice; cin >> choice...

Is your question "what are the other methods?" I programmed those methods somewhere I vaguely remember.

This code is from my 2018 C++ book for barrier options! On a pedagogical advice to everyone , learn the maths of the binomial method and program it yourselves instead of copying from all kinds of (possibly dodgy) sites. My two cents..

There are quite a few models for u, d and p: CRR, JR, TRG, EQP etc.

which part of my response was "rude"?

but just get surprised above "u" are different than what we learned learned in CFA or even CQF LOL what do those guys use? u is up, d is down

Looks like code from one of my books? Which problem are you working on, exactly?

Congrats!

The first 2 modules are difficult indeed because it's C and a kind of survival guide to be honest. In the past (and courses) people tried to learn C++ w/o C savvy. That does not work. Like learning to fall before the real work. and then the next steps (do each step 3 times). I reckon Ruska...

An emerging design pattern, an improved 3-layer model for OO inheritance. This exposes a number of flaws in traditional approaches to OOP, plus a multiparadigm resolution thereof. You could try designing it using C++20 Concepts.:ninja: @APalley @Paul Lopez @Andy Nguyen

The C part is the most tricky. It's like learning grammar.

Don't want to scare you , but.. The political/work situation but it's all becoming a tad anti-immigrant. https://www.dutchnews.nl/2024/03/ministers-set-up-secret-operation-to-keep-asml-in-nl-telegraaf/

Never too old. BTW C also has pointers.

ChatGPT is risk averse!

Shows how dumb AI is (not joking).

If you want to use Gemini you must be over 18!

And who knows what ML will look in 5 years time?

You'll be fine; the TAs are very helpful :)

Given ... my desire to enhance my coding skills, C++ and Python are popular.

As Nvidia hits $2 trillion, billionaire Marc Rowan’s asset manager Apollo calls AI a ‘bubble’ worse than even the dotcom era https://finance.yahoo.com/news/nvidia-h ... OUzgY4qnCO

Optimisation is soo important https://m.media-amazon.com/images/I/61RMTGsXzPL._SY466_.jpg https://www.datasim.nl/application/files/5915/4999/4170/DL_Applied_Numerical_Methods_II.pdf “Nothing takes place in the world whose meaning is not that of some maximum or minimum.” ― Leonhard Euler

Big area. This might be one entry point

It's not going to happen, methinks. Mac will always be associated with DTP in my environment. https://en.wikipedia.org/wiki/Desktop_publishing Wintel is for engineering.

A bit off topic, nuance is As George Bernard Shaw said: "England and America are two countries separated by a common language" Oscar Wilde-> "We have really everything in common with America nowadays except, of course, language."

Also, im going to make an assumption given your spelling of "programme" that you are either in the eu or uk. This is the correct spelling in this case. Bachelors Economics programmes can give you exposure to ODEs and PDEs, Maybe not hard enough for more hard quant role...

ODE/PDE for Economics students moves maths to next level https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

“Of course I plagiarize. It is the privilege of the appreciative man.” ― Oscar Wilde, Only Dull People Are Brilliant at Breakfast and maths...

What kinds of C++ courses? The internet is (used to be) full of C++ courses. // btw wrong thread; this is about articles, not courses. @okay

The Black Scholes option pricer in Fortran95 // DJD real*8 Function pdf(x) real*8 x,A A = 1.0/Sqrt(2.0*3.1415) pdf = A * Exp(-0.5*x*x) return end real*8 Function cdf(x) real*8 DPI,x,L,k,a1,a2,a3,tmp,pdf...

Yes, econometrics seems to be quite strong. I am not an economist. There is a big skills shortage here. Having said that, it is almost impossible to find somewhere to live. Amsterdam is booming. The (extreme?) right-wing PVV got 37 votes at recent general election, mainly based on an...

There is only one thing in life worse than being talked about, and that is not being talked about. Oscar Wilde Baruch must be doing something right. :ninja:

I am not really familiar with these programs. I know more about US and UK degrees, Do you want to work in a bank or in trading? Amsterdam is quite small.

https://www.datasim.nl/onlinecourses/117/distance-learning-object-oriented-and-functional-programming-in-python-language-libraries-and-modern-design-patterns

There are many people in finance who are not from these universities.

Both C++ courses are beneficial irrespective of finance examples (which are only in the last 1-2 modules, but also useful to learn how to design).

As far as PDE is concerned, convection-diffusion is importat. I would learn C++. https://www.datasim.nl/books

LATEX

The topics you mention are wonderful (I took most of them at university, I loved FA) but not directly applicable to finance IMO. But with your maths backgound, it's very impressive! Can you program, e.g. solve Black Scholes PDE numerically ? etc. see random example

I always knew I was a nice person.:eek:

It's just a reminder. You've posted ten thousand messages and received five thousand likes. You are a great human being. You received 5,000 likes. You must be very popular around here.

ODE/PDE course open for registrations 2024. Euro 1500 student price. After that Euro 995 per course. https://www.datasim.nl/onlinecourses

A follow-on remark: a number of useful features in C++11 (e.g. enable_if etc.) can now be done much more easily in C++20 Concepts. C++20 Concepts are mathematically quite robust.

And don't forget C++26 LOL https://en.cppreference.com/w/cpp/compiler_support/26

Haskell Typeclasses == C++20 Concepts. haha

C++14 was a kind of fix. C++17 had some nice stuff. C++23 is beginning to converge with Haskell.

That's a good thing! A while back (before C++11) C++ was almost rigor mortis. Good news! new stuff coming up for the next 50 years :cool:

C++23 Many low-level syntaxes, defect reports etc. https://en.wikipedia.org/wiki/C%2B%2B23 In February 2020, at the final meeting for C++20 in Prague, an overall plan for C++23 was adopted:[3][4] planned features for C++23 are library support for coroutines, a modular standard library...

Don't wait; start now. 95% of real-life C++ is C+11, so QN is already years ahead. And knowing C++20 you can easily learn C++23 on your own.

or even int x = 4; int z = [&r = x, y = x+1] { r += 2; // set x to 6; "R is for Renamed Ref" return y+2; // return 7 to initialize z }(); // invoke lambda

Scary code. Why not use TLS? BTW lambdas are not robust (e.g. capture by reference). https://www.geeksforgeeks.org/thread_local-storage-in-cpp-11/

Chapter 20 One Step Beyond: Component-based Software Development The purpose of abstraction is not to be vague, but to create a new semantic level in which one can be absolutely precise. Edsger Dijkstra @Paul Lopez @APalley

Quantnet C++ C# And some maths.

What happens if people run out of space?

The second question is ambiguous. It can be interpreted in different ways. edit: you could ask them to please clarify.

https://en.wikipedia.org/wiki/High-frequency_trading

I don't think so; it is not based on reality. No future, at least not the way CS is approaching it. I am not a betting man, but my money would not be on it.

UML Class Modelling in C++, Python and C#.

The options are: 1. Start now 2. Don't start now It's your choice in life.

All you wanted know about parabolic PDE (originally in Russian Mathematical Survey 1962) Learn this and will then be few PDEs that intimidate you.

Have a good one. It was a great Winter Solstice.

Coming up in our new book: Python AND C++ interop there's more where that came from ;) It's the future :-)

Is this a compute-intense parallel program or some kind of asych event flow app, like a data feed pipeline? So, what is the _problem_ ? edit: is throughput more important; thread start/stop is costly.

Are you using fine-grained or coarse-grained parallelism?

I don't do much of this in general apart from coarse-grained parallelism ball park stuff ... What about Boost? just a guess? https://www.boost.org/doc/libs/1_80_0/libs/timer/doc/cpu_timers.html Plan B ... a commercial product .. doesn't grow on trees.

yeah, Euler did his best maths when he turned 60!

Start now :) I'm 71and still doing lots of maths.

Math 442 (Introduction to Partial Differential Equations): Rating: 70/100. Partial Differential Equations (PDEs) have their place in the quant finance realm, especially when modeling derivative pricing and other financial instruments. However, this course dives into a lot of mathematical theory...

Apart from grades, jobs etc. _now_ is the time (in your 20s) to learn deep maths. Later is too late.

https://www.datasim.nl/onlinecourses

My books

Alan's chapter 5 has Step I: Standsardised SDE Step II: Discretize the SDE (Euler (x) and NR lattice (y), others?) Step III: HMM structures (construct Q_n(x) matrix) ?? Step IV: what's next? is that section 5.5's use cases? Fundamental data input? Final output?

I would like to this problem a bit of a whack in C++. Ideally, C++20 and possibly Boost C++ libraries. Is there a defined process (input-processing-output)? Some hints: First, you have to understand the problem. After understanding, make a plan.(algorithm) Carry out the plan. Look back on your...

Ciao Marco, The approach taken in this article (Monte Carlo in C#) might help (separation of concerns) is not a million miles away from the approach/recommendations here (especially Figures 1 and 2). A useful quiz: "align" your DFD with context diagram Figure 1 (or 2).

I looked at the DFD. At this stage I do not have enough information to go on. Some issues IMHO are: 1. The scope of the article is rather diffuse .. I would scope the problem to a well-known concrete problem and start again (e.g. take a 1-factor barrier option and work the whole process out A-Z...

C++

Thanks, Marco. I'll study it. BTW I want to ask Alan a few questions as well on W forum. Crepi il lupo :)

A DFD is a no-brainer but how many people initially explain things to others in this way before grunge code, for example?

I will focus my feedback from now on QN :) Part 2 coming up soon.

DFD

Side remark; the design here has the same form as the project style in Baruch's Advanced C++ course. So, relevant to students here as well.

A 101 example could be to take the simplest (not too simple) and trace/paraphrase the steps from Input to Output "meeting" Simplex, Transition along the way i.e. data flow diagram, like Figure 2 in Chun's thesis. block diagram with a clear workflow. In this way, it should be easier to explain...

Prego Marco, This was my thinking as well. I'll go through your paper again in the light of your points 1), 2) above. I do have some (numerical) questions will pose in a couple days. // I used Bezier stuff when in CAD (I once designed a Pirelli tire with Bezier) and for holography, but the...

Maths is fundamental in general, and in particular.

QN C++ course gives a solid grounding in C++.

1. The scope, rationale, reader group, how the article is written (similar to Marsden's recommendation). The article does not flow yet, it is a description. 2. Technical stuff (density, simplex, transition matrix, Bezier etc.) 1.continued. I think the goal should be to restructure the article...

Marco, I use this below all the time, in maths, for C++, for books etc. (my very first _proposed_ chapter of my very first book From Chaos to Classes (1996) had > 40 pages 🤖) Some initial tips. https://en.wikipedia.org/wiki/How_to_Solve_It Niels Bohr say 1.tell 'em what you are gonna tell 'em...

I don't doubt that. What are the gems that new C++ programmers can take from this video. People ask us quite often 1. How to design a trading system in C++. 2. Which language features are useful. Maybe I've missed something. // There seems to be a trading module in one of the Baruch projects.

yes and no. This is Optiver which is a major user of C++. To understand this you probably need quite a few years of industrial experience. A bit like martial arts belts white -> yellow -> ... -> brown -> black 1 -> black 10.

It's called experience. First we learn the fundamentals. The last module is an application project. https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/page-6#post-310389...

Prego :) Ciao Marco, I am going through your (mega ) article and I am preparing some feedback. It is a huge endeavour and my two main perspectives soon are: 1. The scope, rationale, reader group, how the article is written (similar to Marsden's recommendation). The article does not flow yet...

I'll have a read of this article and get back (btw not much going on wilmott.com .. it's just me (Cuchulainn), or that's how feels :))

What are the topics in an actuarial degree? My gut feeling is the maths may not be hard enough for quant maths.

If I were in this position, focus on applied/numerical maths degree. And learn C++ asap. Everything else follows, more or less. // not sure if actuary is quant as such.. but useful skills nonetheless.

The Microsoft Implementation of CRTP in Active Template Library (ATL) was independently discovered, also in 1995, by Jan Falkin, who accidentally derived a base class from a derived class. Christian Beaumont first saw Jan's code and initially thought it could not possibly compile in the...

"People talk about teaching programming, I think that's a great idea. The problem is, as near as I can tell, they're *not* teaching programming ... they're teaching coding. Hardly anybody in the outside world understands the difference between #programming and #coding " — Dr. Leslie Lamport...

Out of curiosity, is there a syllabus? which version of C++?

BTW how's them Excel rename glitches?

Doesn't matter which PC. Only difference is how QUICK you want to generate compiler errors. In that case, get a bigger machine.

https://www.tiobe.com/tiobe-index/

Here is a ML librarys using RKHS https://pypi.org/project/codpy/ https://en.wikipedia.org/wiki/Reproducing_kernel_Hilbert_space

Another way, from 1st principles from definition of upper and lower limits U and L, value always in (L,U), let N -> 2,4, ... The way Archimedes wudda done it.

https://wilmott.com/category/articles/ https://wilmott.com/category/articles/page/7/ // you probably need to register.

p. 26 A good test: compute Lebesgue integral numerically + manually using N subdivisions of y axis e.g. f(x) = x^2 N = 2,4,8 etc. // figures not numbered.

The reason is incremental development, more effective than starting from scratch for each exercise.

M1*M2 is kids' stuff.

https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020 https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019

Quasar, ChatGPT version? https://appsource.microsoft.com/en-us/product/office/wa200005271?tab=overview

yet another Excel interoperator.

https://www.efinancialcareers.com/news/finance/python-vs-c Python is great for prototypes, but not so much for building trading systems, says Peacock. "It's almost like a toy language," he says, before quickly correcting himself for fear of upsetting Python developers. "- Python is a serious...

But I know nothing about C++ and have very little experience in using computer programs to automate mundane tasks. I would say QN C++ Not being able to program is like not having a driver's license IMHO.

And from a structural point of view, generics were added to Java very late in the game. And it's not to everyone's taste. https://en.wikipedia.org/wiki/Generics_in_Java#:~:text=Generics%20are%20a%20facility%20of,compile%2Dtime%20type%20safety%22.

As my first impression reaction I would go for beginner's course. You can check your level by examning the modules. BTW do you know templates well?

AFAIR Visual Studio is mandatory? I don't use Mac, so personally I can't help here. Sorry :oops: The original VS2015 is embedded/ hard coded in the videos. It is a question of learning each new version of Visual Studio.It is a bit annoyng, but not the end of the world. There is lots of...

https://m.media-amazon.com/images/I/71929Dhy5YL._SY466_.jpg

template <typename T, template <typename T> class K> requires KernelProtocol<T, K> class SomeAlgorithm { // An example of Composition, testing conjunctional requirements private: K<T> ker; public: SomeAlgorithm(const K<T>& kernel) : ker(kernel) {} // Wrapper functions T...

Here's a work in progress #ifndef kernels_hpp #define kernels_hpp #include <vector> #include <functional> #include <type_traits> #include <cmath> #include "NestedMatrix.hpp" // K:R(n) X R(n) -> R (or complex) template <typename T> using VectorType = std::vector<T>; template <typename...

My prediction in this area is that C++20 will be needed. And linear algebra is not enough. (the dolphins told me!)

JP Morgan pulls plug on deep learning model for FX algos US bank turns to less complex models that are easier to explain to clients...

One route QN C++ -> {ODE_PDE | AMN} -> Advanced C++.

All certificates in one place!

Just a bump just a bump. Course open, as always.

Out of curiosity, what's the reason(s) for this? Content, style, exercises?

https://github.com/AIM-IT4/QuantitativeDerivativeModels/tree/main

https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

ODE/PDE is a good preparation in econometrics etc. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations And programming (C++, Python) these days.

Both QN C++ courses have modules on Monte Carlo and PDE. There is no other C++ course like it.

In general, learning as much maths as possible is useful. My ODE/PDE online course is relevant to MFE. C++ and Python are also good.

Can you program? C++, Python. How's your applied/numerics maths? Measure Theory is hardly used; almost no one understands it.

Level9 is to get you acquainted with Monte Carlo and PDE. The full story is here. https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670

Here is doc

Cash. You're winding us up o_O

In module 10 we have stuff on PDE/FDM that you might like as well. https://www.amazon.co.uk/Numerical-Methods-Computational-Finance-Differential/dp/1119719674/ref=sr_1_1?dchild=1&keywords=9781119719670&qid=1634724362&sr=8-1 @DesirKoffi @Paul Lopez

This book, with Matlab code https://www.amazon.nl/Financial-Modelling-Theory-Implementation-Practice/dp/0470744898

I asked a prof about one and he said it was more for maths teachers (high school level) than hard mathematicians. Your prof is not even wrong. Scary.

I see. Some numerical linear algebra and optimisation preparation is very useful.

What's "ESL"?

YEP:devil::coffee::geek::mad:o_O🫡🤧🦾🧛‍♂️

Indeed. On the other hand, the added value of QN is 1. quickly help you with conceptual issues. 2. Compiler errors resolution ASAP. And you make the magic between 1 and 2.

I just see what ChatGPT comes up with, use that answer, and spend 1 hour making sure that I understand its solution and that I can replicate it on my own in the future? It is one way,but ChatGPT has done the hard thinking for you. What happens when ChatGPT cannot answer and you haven't built...

And why would you use ChatGPT? It is a poor substitute for your brain.

What was the (root) cause of the problem? a 1-liner is also OK. Many people are interested.

is it working now?

A well-written book would save a lot of lost time. // the kids have to eat; $3 won't go far after Amazon has got its share. And then the taxman.

Please see.

9N I would say 1. does lib file exist? 2. is it compatible with project (x86, x64 stuff) 3. is it in your project properties? my file a while back was quantlib-vc140-mt-gd.lib ? Are you missing a version number? Build again for vc142, whatever. It's not rocket science at this stage.

"By pulling the code from Git (at a stable versión of course) you can take advantage from the cmake files and using the CMAKE plugin of vscode you can compile and debug in a matter of minutes."

OK. But the installation works if the bespoke steps are followed exactly?? A golden rule is this kind of stuff should be easy.

Did you ring the alarm bell? e.g. contacting Luigi directly? https://www.quantlib.org/mailinglists.shtml

mallab?

https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10708

It's a matter of following the steps correctly Years ago it took me 2-3 tries until I understood what I was doing. https://www.quantlib.org/install/vc10.shtml

The BOOK https://www.amazon.com/Implementing-QuantLib-Quantitative-finance-architecture/dp/B08KHSZK86/ref=sr_1_1?qid=1695749765&refinements=p_27%3ALuigi+Ballabio&s=books&sr=1-1

If it is a bot, then it's a very polite one :unsure:

Give Guy the job!

So, Dennal is an AI bot? Mon Dieu!

BTW in 1987 was the dawn of a new AI revolution. It fizzled out. I dabbled a bit in Prolog (must be good if the Japanese were using it ...), but no.I saw no future .. a lot of hype, unfortunately. Microsoft, Oracle won. And C++.

?? it is from NYT,yes?? (pay wall) https://www.nytimes.com/1987/09/15/science/more-human-than-ever-computer-is-learning-to-learn.html They published similar hype in 1958 (and that's a fact) // Electronic 'Brain' Teaches Itself (Published 1958)...

Not sure what you are saying. Who is the "individual" in this case?

About the Archive This is a digitized version of an article from The Times’s print archive, before the start of online publication in 1996. To preserve these articles as they originally appeared, The Times does not alter, edit or update them. Occasionally the digitization process introduces...

MATT ROBINSON This thesis introduces and elaborates on how to approximate option and bond price sensitivities (Black Scholes and Cox-Ingersoll-Ross (CIR) models) in a variety of ways. In general, option price depends on time and on the underlying stock variables as well as on a number of...

The Riccati ODE in Mathematical Finance https://www.sciencedirect.com/science/article/pii/S0747717101905085 And the corresponding PDE/FDM solution of CIR interest rate model

Numerical Analysis as well. C++, Python at some stage.

And the next steps? https://www.datasim.nl/onlinecourses/71/distance-learning-advanced-finite-difference-method-fdm-for-computational-finance

I have written several books on PDE/FDM, geared up to finance. And many articles I wrote and posted on QN. Other PDE stuff on internet is like learning karate whereas the goal was to learn judo. https://www.datasim.nl/books // In general, it is always good to ask TA or myself if you have...

C# is used as well. C# in Financial Markets (Wiley) , Duffy and Germani 2013.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4565813

(for example regex) Yeah, kind of esoteric, we include it for completeness. It's been in Boost for almost 20 years. https://www.boost.org/doc/libs/1_83_0/libs/regex/doc/html/index.html It means that you can hold your own against those pesky Perl and PHP programmers.

you can use "insert code" option ;) #include <iostream> // Forward declaration of classes to avoid circular dependencies class ConcreteElementB; class ConcreteElementA; // Visitor base class class Visitor { public: virtual void visit(ConcreteElementA* element) = 0; virtual void...

I use both Python and C++, at different times, for different requirements. C++ is a real skill to have. Just saying. Plan B: don't wait for someone, you can write your own code; it takes time, that's all.

Not that I know of, but maybe someone is thinking about it.. What is needed? 1. People to do the actual work. 2. Feasability study. 3. Budget. 4. Project plan. etc.

An unordered_map is a data structure that stores data in the form of key-value pairs. The best case and the average case complexity for all the operations in an unordered_map is O(1). While in the worst case, the time complexity for all the operations in an unordered_map is O(n).

?? that contradicts the official documentation.

Average or worst-case O(..)? std::unordered_map is an associative container that contains key-value pairs with unique keys. Search, insertion, and removal of elements have average constant-time complexity. Internally, the elements are not sorted in any particular order, but organized into...

I was unable to unbold that quote of mine, sorry.

“It is better to solve one problem five different ways, than to solve five problems one way.”

Thank you. I am the originator of the popular ODE/PDE course as well as being the personal coach/mentor for the duration. And even a mini-project(if student wants) + certificate. And I'm the only PDE course doing finance PDE etc...

why not build your own Euler fdm 101 from 1st principles w/o all that boiler plate code i.e. virtual. /* Let's try to solve the first order ODE given by * x' = (1-2t)x */

This code is difficult to read; it is not documented. Lots of automatic variables defined in calculateNextYValue(). BTW how's the performance? looks top-heavy at first glance. Why not just post a zip file???

Value >> price

a. $39 b. $45 c. $50 d. $60 e. $80

Georg Polya

Peter Lax PDE guru // believe it not, PL attended a lecture of mine on Black-Scholes-esque PDE in 1977..

Hungary was a front for aliens from Mars. In an answer to the question of why there is no evidence of intelligent life beyond Earth despite the high probability of it existing, Szilárd responded: "They are already here among us – they just call themselves Hungarians."

Cornelius Lanczos once offered us undergrads a challenge in Dublin; generalise Radon-Nikodym theorem to complex variable case.

Paul Halmos was Hungarian. I met him a few times at some lectures he gave in the 1970s in Trinity College. https://en.wikipedia.org/wiki/Paul_Halmos 1942. Finite-Dimensional Vector Spaces. ... 1950. Measure Theory. ... 1951. Introduction to Hilbert Space and the Theory of Spectral...

Thanks. Many student questions on QN are addressed here, which is the reason I posted it in the first place :LOL: seek and ye shall find Matthew 7:7

The treatment is too short.. Do you know the books by Kloeden and Platen? you should. These are definitive!

those 2 books will bring you far.

the best book for MFE IMO is https://www.amazon.nl/-/en/SPIEGEL/dp/0070602212 and Mikosch https://www.amazon.nl/-/en/Thomas-Mikosch/dp/9810235437 If you are maths ==> HALMOS measure theory

To really understand measure theory, 4 year honours undergraduate maths courses are needed. Been there, done that. My Prof was a PhD student of William Feller at Princeton at the the time, so I got it from a good source. terse stuff.. It's kinda cruel subjecting (unprepared) MFE students to MT...