Looking for stochastic calculus resources

IlyaKEightSix

Active Member
Try as I may to try and learn stochastic calculus at my college, here is the email from Lehigh University's dean:


***
Ilya:

Since we last emailed, I was able to consult with Professor Dobric and the Registrar, Bruce Correll. Due to the strong demand for Math 467, you will not be able to take the course this semester. Math 467 is a requirement for Analytical Finance Graduate Students, therefore it is important that they are the first group of students enrolled in the course.

Professor Dobric uses a priority ranking to enroll students in the course: graduate students in the Analytical Finance program are first, then other PhD students, other masters students, then undergraduate students. He has a working wait-list for undergraduate students. You are currently on that list, however there are other undergraduate students above you as well. All undergraduate students have been told that they will not be able to take the course the fall 2008 semester. This priority ranking process is consistent with rules and procedures for graduate level courses.

Professor Dobric, Carl Moses, and the entire Committee for the Standing of Students understand your interest in the course. However, due to the large demand in the Analytical Finance Program, interest for the course by PhD and Master level graduate students, and its current over-enrollment, undergraduate students will not be able to take it this fall.

I know you are disappointed by this answer. If you want to discuss this any further, I would be the appropriate person for you to contact.

Dean Lantz

***

Essentially, I'm frustrated and a bit hurt that the professor of this course told me to wait for a friend to sign up, and when that moment came around, both my friend and I were denied entry.

So now, I'm looking to other routes. Due to my information systems engineering background (which is like industrial engineering+applied computer science, and I went out on a limb and filled out my coursework by taking whatever undergrad probability I could find), the chairman of the finance department told me that an MFE at Lehigh would waste my time if I took the undergraduate/graduate finance courses (investments and corporate finance next semester, then HOPEFULLY stochastic programming, derivatives, and global finance the semester afterwards)--provided I learned stochastic calculus, as that was essentially the huge kicker.

So now I'm stuck looking like an idiot--more advanced than most undergraduates, but slightly subprime compared to a formal MFE student, despite having a significant amount of coursework (optimization models, random processes, planning on stochastic programming, advanced numerical methods, global finance, and derivatives).

Due to the fact that I'm a terrible politician, I honestly feel that my chances among the mass of undergraduates that apply for analyst positions at Wall Street is lower than it should be.

Are there any free and good textbooks online for stochastic calculus, like Introduction to Probability by Grinstead and Snell works for Random Processes?
 

doug reich

Some guy
Due to the fact that I'm a terrible politician, I honestly feel that my chances among the mass of undergraduates that apply for analyst positions at Wall Street is lower than it should be.

Are there any free and good textbooks online for stochastic calculus, like Introduction to Probability by Grinstead and Snell works for Random Processes?
From everything you've written on these forums, it seems like your time may be better spent working on your resume, job interview skills, and networking. I'll say you have a very strong background, but you have no self-confidence.
 

swindler

New Member
Try and sit through some of the lectures. Professors at my college allowed us to sit through other courses' lectures. We just couldn't get credit or take the tests. Try to be more creative. Not everyone needs formal schooling to be sucessful.
 

chrisd

New Member
You can find copies of Shreve's book online for fairly cheap, 50 bucks or less, but if you're wedded to stuff that's free and online, I've got a few links.

Here a few course notes that basically make up a course in stochastic calc:

http://www.math.nyu.edu/faculty/goodman/teaching/StochCalc2007/index.html

Prof. Goodman's notes (at the bottom of the page) are pretty good, they basically make up a pretty comprehensive course.

Lecture Notes

Rich Bass has notes on a bunch of stuff, including Stochastic Calc, measure theory, and financial mathematics (martingale pricing).
 

IlyaKEightSix

Active Member
Thank you. Though it seems Bass is extremely heavy handed on the notation. I wonder if his goal is to teach the material, or to weed out would-be applicants from graduation :X
 

alain

Older and Wiser
Ilya

Notation is always a problem with stochastic calculus. It's better if you get used to 2 or 3 different ones because almost everybody has a different notation for the same things.
 

ReBorn

New Member
I would just get the book by Oksendal, its fairly cheap. There is also a book by Steele that is more finance-oriented, and has solutions to its exercises online, so that might be something worth looking into.

As far as purely online resources go, google is your friend. Here are some that I found that look fairly okay:

I would start with this one, Evans is a good writer:

http://math.berkeley.edu/~evans/SDE.course.pdf

Here are some more resources:

http://www.chiark.greenend.org.uk/~alanb/stoc-calc.pdf

http://www.math.toronto.edu/quastel/fin.html

Now these are more of lecture slides, but can be fairly useful during review:

http://www.math.toronto.edu/quastel/Stochastic/
 
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