Hi everybody, I am new to this forum. I am now a computer science PhD student and would like to start a quant career after I graduate. I know stochastic caculus is essential for a quant career. So do you think it is better to read a stochastic caculus textbook or just take a financial math book which contains stochastic caculus. And could you please recommend me some books. Many Thanks.

it depends how advanced you are1- For a good introduction, you have Hull's OFOD, Wilmott's PWIQF, or for something lighter you can have a look at my textbook Finance & Derivatives: Theory & Practice2- For an advanced textbook, you have Steven Shreve's Stochastic Calculus I & IIhope this helpsSB

Lamberton & Lapeyre : Introduction to Stochastic Calculus Applied to Finance ( also very good.

Levy Processes.

QuoteOriginally posted by: phaedoit depends how advanced you are1- For a good introduction, you have Hull's OFOD, Wilmott's PWIQF, or for something lighter you can have a look at my textbook Finance & Derivatives: Theory & Practice2- For an advanced textbook, you have Steven Shreve's Stochastic Calculus I & IIhope this helpsSBThanks for your reply. I actually want to know enough (but not far too much) to get a job. I am currently reading Hull's Book. Is the knowledge about stochastic caculus in Hull's book sufficient to get a job. If not, what else should I read. Thanks again.

Phaedo is basically right, but here are my thoughts:Hull's Book on Options/Futures and other Derivs contains all the basic knowledge of finance you need for a job. About every question in any interview I've had has come out of that book. However, there is exactly zero information in Hull about stochastic calculus per se. On the other hand, if you want an intro to Stochastic Calculus for Finance, then Steve Shreve's book of the same name is the place to start. The best aspect of the book is that he starts the second volume with an intro to the probability theory you need if you don't have a background in probability theory. This is NOT an advanced text by any means, but it is pretty comprehensive and covers most of the topics you will need. If you do have a background in probability theory, that is a couple of semesters of grad level probability, then the real stochastic calculus classic is Shreve's book Brownian Motion and Stochastic Calculus. .

QuoteOriginally posted by: CstudentThanks for your reply. I actually want to know enough (but not far too much) to get a job. I am currently reading Hull's Book. Is the knowledge about stochastic caculus in Hull's book sufficient to get a job. If not, what else should I read. Thanks again.it pretty much depends on the type of job you want to get, but in banking most people have read the Hull so stopping there won t distinguish you from other candidates - if you can, take a Stochastic Calculus course unless you already have a good background in probability theorySB

I am not the original CS PhD student posting this question but I also want to know how I should equip myself to get a quant post. I believe Stochastic Calculus is the obvious requirement because all those internal papers I've seen so far in my company started with some sort of SDEBut how about other topics like Monte Carlo methods and Numerical Analysis skills to solve PDE etc? Fourier transform? I saw a lot of advanced (to me at least) text book like those dedicated talking about interest rate models or volatility surface etc... I don't have Phd but I just have two masters one in computer science another one in finance....Do I have to be familiar with many of those topics before "qualified" to try any entry level quant job?

QuoteOriginally posted by: plchungI am not the original CS PhD student posting this question but I also want to know how I should equip myself to get a quant post. I believe Stochastic Calculus is the obvious requirement because all those internal papers I've seen so far in my company started with some sort of SDEBut how about other topics like Monte Carlo methods and Numerical Analysis skills to solve PDE etc? Fourier transform? I saw a lot of advanced (to me at least) text book like those dedicated talking about interest rate models or volatility surface etc... I don't have Phd but I just have two masters one in computer science another one in finance....Do I have to be familiar with many of those topics before "qualified" to try any entry level quant job?It seems to me that a CS student (esp. PhD student like me) is in a very embarrassing position. They have fairly good implementation skills and know pretty much of math, but usually they need to learn a lot before they can get a quant interview. Banks accepted CS students to be quants. But I doubt that the number must be very limited.If there is a list of recommended books for CS students dreaming of quant careers, it would be really really helpful.

QuoteOriginally posted by: CstudentQuoteOriginally posted by: plchungI am not the original CS PhD student posting this question but I also want to know how I should equip myself to get a quant post. I believe Stochastic Calculus is the obvious requirement because all those internal papers I've seen so far in my company started with some sort of SDEBut how about other topics like Monte Carlo methods and Numerical Analysis skills to solve PDE etc? Fourier transform? I saw a lot of advanced (to me at least) text book like those dedicated talking about interest rate models or volatility surface etc... I don't have Phd but I just have two masters one in computer science another one in finance....Do I have to be familiar with many of those topics before "qualified" to try any entry level quant job?It seems to me that a CS student (esp. PhD student like me) is in a very embarrassing position. They have fairly good implementation skills and know pretty much of math, but usually they need to learn a lot before they can get a quant interview. Banks accepted CS students to be quants. But I doubt that the number must be very limited.If there is a list of recommended books for CS students dreaming of quant careers, it would be really really helpful.Yeah, read this one String Theory for Dummies.You're welcome.

I'd recommend Oksendal(Stochastic differential equations) for a gentle introduction to SDE's and Ito Integral - for an entry level position it should be enough to answer questions, I think. If you want to know about Monte Carlo stuff(introductory level, again), read Peter Jackel "Monte Carlo Methods in Finance", it's not very hard and quite short(210 pages) but it will give an overview of MC methods, random number generators, normal number generators and stuff. Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians.

QuoteOriginally posted by: Zedr0nI'd recommend Oksendal(Stochastic differential equations) for a gentle introduction to SDE's and Ito Integral - for an entry level position it should be enough to answer questions, I think. If you want to know about Monte Carlo stuff(introductory level, again), read Peter Jackel "Monte Carlo Methods in Finance", it's not very hard and quite short(210 pages) but it will give an overview of MC methods, random number generators, normal number generators and stuff. Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians.I agree with the Cstudent where computer science people like us can basically implement many algorithms out there with a lot of funny data structures but we lack the business knowledge (e.g. why use local volatilities when solving PDE numerically) used by Quant, as well as the stochastic calculus & PDE solving techniques because those are not quite common in CS research field.Thanks a lot to Zedr0n and everyone's recommendation. I will dig into it