Ask HN: Good Book on Stochastic Differential Equations?

Posted by faizshah on Wednesday February 02, 2022 @11:35AM
from the ask-hn dept.

Hi HN,

Any recommendations on a book on stochastic differential equations?

Looking for something that is more applied and explains it to me like I took calculus years ago and hardly remember it but want to learn financial modeling with SDEs.

I was reading a book on the volatility surface but the math in there is too advanced for me.

( 4 comments | 5 points | on HN )

Re:Ask HN: Good Book on Stochastic Differential Equations? by countersixte on Wednesday February 02, 2022 @12:54PM (#30181196)

I am not an expert in SDEs (my background is machine learning) but if I wanted to dig more into the subject, this is where I personally would start. Code [1] and pdf [2] for the book are available.

Simo Särkkä and Arno Solin (2019). Applied Stochastic Differential Equations. Cambridge University Press. Cambridge, UK.

[1] https://github.com/AaltoML/SDE

[2] https://users.aalto.fi/~asolin/sde-book/sde-book.pdf

[ Parent | on HN ]

Re:Ask HN: Good Book on Stochastic Differential Equations? by faizshah on Wednesday February 02, 2022 @09:04PM (#30187488)

Thanks! Exactly what I was looking for.

[ Parent | on HN ]

Re:Ask HN: Good Book on Stochastic Differential Equations? by countersixte on Wednesday February 02, 2022 @10:16PM (#30188089)

Glad it helped. :)

[ Parent | on HN ]

Re:Ask HN: Good Book on Stochastic Differential Equations? by yuuu on Wednesday February 02, 2022 @12:52PM (#30181160)

Maybe you should start with ordinary differential equations if you've forgotten calculus.

[ Parent | on HN ]