Re:Ask HN: What kind of math do you study in your free time?
by snicker7 on Friday June 12, 2020 @03:03PM
(#23502496)
In grad school, I used "Stochastic Calculus for Mathematical Finance II" by Shreve. Its pretty rigorous/technical (don't bother with volume I, imo).
I don't know of any decent books on estimating parameters for SDE's. Though I suppose one way of going about it is as follows: convert the SDE to a discrete time series using Euler method and use maximum likelihood estimation.
I don't know of any decent books on estimating parameters for SDE's. Though I suppose one way of going about it is as follows: convert the SDE to a discrete time series using Euler method and use maximum likelihood estimation.