- Joined
- 12/8/21

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- 138

I have a master's in statistics. It has been almost a decade but my knowledge of probability had (once) gone as far as the following concepts : the probability triple, the monotone and dominated convergence theorems, martingales, and very vaguely the radon-nikodym derivative (you get the idea). Probably need a few weeks of quiet study to review all these and get back up to speed.

Anyway, I am now aiming to make a career switch from being a buy-side macro economist to a buy-side quant, and I think learning about stochastic calculus would be helpful (avoided that course back in the day because the professor was a known disaster). My aim is NOT to become so acquainted with the subject so I could begin dong Phd research on the topic. Just want to be solidly grounded enough to be an effective and efficient quant.

Need a book for self-study and I have narrowed down my list to the these two. Which one would you think is better for me? Or would there be a 3rd better option I am not aware of? My goal is to get as much out of a book as quickly as possible, to the point that I am totally comfortable with the key concepts, how they have come about, and how they are applied in finance. Your advice is much appreciated, thank you so much!

1. Shreve: Stochastic Calculus and Finance

2. Michael Steele: Stochastic Calculus and Financial Applications