I would like to pursue research in the areas of Financial Mathematics. Hoping to look into Operations Research, Risk Management and Stochastic Modeling. Anyone got some suggestions on useful resources and possibly the kind of prerequisites I should have?

Disclosure: I am not a maths student and currently do not have background beyond the Math 126, part of the Calculus Series.

  • $\begingroup$ If with "basic calculus" you mean you've read and understood something equivalent in level to "Principles of mathematical analysis" by Rudin, then I think you should be in a very good position to pursue further research in stochastic modeling. If not, then the books by Baxter & Rennie (Financial Calculus), Bjork (Arbitrage theory in continuous time) and Klebaner (Introduction to stochastic calculus with applications) are in my opinion good places to start. $\endgroup$
    – user34971
    Jan 23, 2019 at 6:16
  • $\begingroup$ At some point soon you will need Advanced Probability: Math521 or equivalent $\endgroup$
    – Alex C
    Jan 26, 2019 at 1:36
  • $\begingroup$ @ilovevolatility Do you know if there is any consensus regarding the quality of the third versus second edition for Klebaner’s intro to stochastic calc? $\endgroup$
    – Theodore
    Jan 29, 2019 at 4:55


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.