Maths foundations
Stochastic calculus
Itô's lemma and stochastic differential equations, the maths under option pricing and interest-rate models.
About 30 hours of study.
Where to learn it
Read
No book or written guide picked yet.
Suggest oneWatch
MIT 18.S096: Topics in Mathematics with Applications in Finance
MIT OpenCourseWare, with practitioners from Morgan Stanley
Lectures 18 and 21: Itô calculus, stochastic differential equations
Practise
No practice set picked yet.
Suggest oneWrong chapter, dead link, or know something better? Tell us on GitHub.
Which roles ask for it
- Quantitative researcher / analyst in the first year
Before and after
Learn first
Stochastic calculus
Opens up
Nothing else on the map yet.