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porky_pig_jr@xxxxxxxxxxx wrote:
Ross SM, Introduction to Probability Models is probability written at
the appropriate level for someone with your background
except, if I remember correctly, this textbook does not have anything
on brownian motion which is apparently applicable to the financial
models. I remember taking the course on Stochastic Processing, we've
used this very textbook, and professor gave a separate lecture on
brownian motion, and mentioned that it was important for financial
modeling.
PP, Jr. does not remember correctly. The coverage may not be enough for
the OP's needs, but it is a good place so start given his/her
background. However, there is no coverage of martingales. The OP may
wish to look at Ross's Stochastic Processes for this topic. S/he may
want to move on to Shreve's Stochastic Calculus for Finance.
My experience from tutoring a client in financial engineering is that
the student needs to have a firm background in probability in addition
to familiarity with Brownian motion. The first three chapters of
Probability Models will reinforce these. Things like Poisson processes
and Markov chains creep in at unexepcted moments now and then.
--
Stephen J. Herschkorn sjherschko@xxxxxxxxxxxx
Math Tutor on the Internet and in Central New Jersey and Manhattan
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