Maths foundations
Stochastic processes
Random walks, Markov chains, Poisson processes and Brownian motion.
About 25 hours of study.
Where to learn it
Read
Introduction to Probability, 2nd edition
Joe Blitzstein, Jessica Hwang
The chapters on Markov chains and Poisson processes
The free online edition from the authors.
Section not checked yet
Watch
MIT 18.S096: Topics in Mathematics with Applications in Finance
MIT OpenCourseWare, with practitioners from Morgan Stanley
Lectures 5 and 17, Stochastic Processes I and II
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 to get hired
- Quant developer good to have
- Risk analyst good to have
- GATE statistics to get hired