誠哥的繼承者們
2018-10-20 13:28:28
Ito lemma
要由最fundamental ge calculus definition入手
宇智波月巴
2018-10-20 15:23:54
Math
-中學數
-m2 (basic calculus & linear algebra)
-a level pure math
-university math (formal calculus and more related theorems)
-Linear algebra
-Multi-variable calculus (d同in)
-ODE+PDE
Stat
-Basic concept (mean,var,cov,corr,pdf,cdf,joint dist, conditional prob/dist)
-Overview of different distributions (binomial,poison,geometric,negative binomial,uniform,normal,exponential,gamma,beta,student t,F,χ^2)
-Useful theorems (CLT/FCLT, Law of large number)
-Hypothesis testing
-Regression
-Statistical Inference
-Time series
我當初大概就係咁樣學上去
:^(
(不過我未take PDE)
當然仲有其他嘢係可以讀
e.g. real analysis
因為probability thoery其實就係由real analysis整出黎(確切啲講係measure theory)
讀埋呢個你睇任何stat同mathematical finance嘅proof都唔會有問題
p.s. 如果你唔係勇者就唔好讀啦
:^(
———————
其實就咁讀finance的確係唔需要學咁多數
9成都係作文老吹睇表畫線
:^(
就算真係學都應該學programming
但係如果你學嘅係risk man
咁數底就好重要 因為我地好多時都需要依靠model黎approximate一啲”risk”
而呢啲model就係用上面嘅數去build up
始終risk呢樣嘢冇得靠吹水作文
:^(
宇智波月巴
2018-10-20 15:24:19
welcome to real analysis
Hogg, R. V. , Tanis, E. A. Zimmerman, D. L. (2015) Probability and Statistical Inference, 9th edition, Pearson.
Suhov, Y. and Kelbert, M. (2005) Probability and Statistics by Example: Volume
1, Basic Probability and Statistics. Cambridge, UK; New York: Cambridge University Press.
Hogg, McKean and Craig (2005) Introduction to Mathematical Statistics, 6th
edition, Prentice Hall.
Casella, G. and Berger, R. L. (2002). Statistical Inference, Duxbury Press.
-Basic stat (moment, distribution, CLT/FCLT, law of large number)
始終應用得最多stoc cal嘅field就係finance
而finance關心嘅野其實好多時都係一啲stat嘅問題 (Mean = average, std dev = volatility 之類)
所以係需要一啲stat嘅background
-Stochastic process
雖然我只係講咗wiener process 但係其實仲有好多其他嘅random processes
(e.g. Bernoulli process, poisson process)
而本身random process已經有好多野可以講
(e.g. markov chain, transition prob matrix, birth death process)
而stoc cal其實就係建基於呢啲野 再去問啲類似"rate of change"嘅問題
寒武紀
2018-10-20 18:53:15
留名
天使安吉兒
2018-10-20 18:55:32
lm
詩人松島安
2018-10-21 14:09:53
以前學過，但最後一堂阿 sir 先同我地講 derivatives quant 已經收左皮，叫我地向第二個方向發展
幾個midterm打到埋身 想抽時間都抽唔到
完咗midterm之後我應該會整一個review先
同大家複習返我地依家嘅進度
同埋會補充返一啲basic嘅嘢
例如pdf,cdf,mean,var 呢啲基礎嘅stat knowledge
仲有會講下一啲basic嘅derivative product同concept
e.g. (future, call, put, barrier options, European/American style, exotic options,bond之類)
等冇乜fina底嘅觀眾都可以理解我之後做緊乜
完咗個review就會入下一個section —— Black Scholes Merton Model