I would strongly recommend Jacod and Protter Probability Essentials. Shreve is excellent but is more geared towards finance. J&P is an excellent preperation for stochastic.Can you guys recommend a good book on probability as a preamble to an MSFE program?
Hi, Andy:I updated the list with books recommended by Yuriy and also added a SAS section in which I add the SAS primer book that i'm reading
Isn't this book a bit more challenging than what you would receive on a phone interview for an MFE degree? I have the book and I did not receive "that challenging" questions on my interviewsFifty Challenging Problems in Probability with Solutions by Frederick Mosteller
thanksAt the level of MFE admission interview, it will be mostly basic calculus/probability/bond math questions. Anything that you list on your resume is fair game.
For calculus problems http://www.math.ucdavis.edu/~kouba/ProblemsList.html
For simple brain teasers http://www.quantnet.com/forum/threads/quantitative-interview-questions-and-answers.437/
Keep in mind that an important objective of the interview is to assess your English skills so don't get too tangled up in the technicality and forget to explain yourself in clear English.
Yup, a 4 year old post but it has me in fits nowBooks about Python made this list?
I ordered the following book last week:
Statistic and Data Analysis for Financial Engineering - David Ruppert
It looks very good. Every chapter has exercises and Lab problems to do in R. All the code is in R and the data sets are available on the author's web site.
Hi Romi,heyy
actually im after R code for statistics and data analysis for financial engineering