• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Calculus based probability books

sak

Joined
8/16/09
Messages
84
Points
18
I have seen a lot of discussion about good books for probability, calculus, statistics but was wondering what would be a good book to learn and advance the "Calculus based Probability" skills. I am looking for an intermediate level book.
 
My favorite probability book is "Probability and Random Processes" by Grimmett and Stirzaker.

Some people consider this book to be "advanced" but I don't think it is that bad if you are comfortable with calculus, mathematical notation, etc. The exercises are non-trivial and they admit as much. I think you can see a pretty good chunk of it on Google Books if you want a preview.

If needed, use the Schaum's outline (Probability, Random Variables, and Random Processes) as a backup as it moves a little slower and works as a good guide to the first 4 chapters or so.
 
I'm currently using "A first course in Probability" -Ross Sheldon. Don't be fooled by the name, this book is definitely at the intermediate level. I would give it a solid 'meh'. The author is a bit frank, and it is is not exactly a fun read. The only upside is that you can google an entire PDF format solutions manual.
 
I consider my calculus skills pretty advanced but probability skills to be intermediate. So, in that case where should I start? I checked the books mentioned below but seems like they are are more probability intense and has smaller weight on calculus side. Am I right in my observation?
 
The Grimmett book starts out using set theory applied to probability but once you get to continuous random variables it's mostly calculus.

If you're concerned about MFE requirements I think they're usually just saying they want your understanding of probability to be beyond the basic combinatorics class they sometimes use as a first class in undergrad. You need to understand random variables and their cumulative distribution, density, and moments. You can't get too far there without calculus.
 
sak said:
I consider my calculus skills pretty advanced but probability skills to be intermediate. So, in that case where should I start? I checked the books mentioned below but seems like they are are more probability intense and has smaller weight on calculus side. Am I right in my observation?
Click to expand...

Calculus, set theory and methods of proving are applied in every chapter. That being said, it is a probability book.

I also, have Schaum's outline (Probability, Random Variables, and Random Processes). I would recommend it as a supplement.
 
I would suggest doing a search before posting.. Had you done that, you would have found some excellent recommendations from ppl like BBW.
 
Back
Top