Mathematical Finance Wizardry
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- čas přidán 9. 05. 2023
- This is an amazing book on Mathematical Finance. The book covers probability and all the mathematics necessary to derive the Black-Scholes formula. It also has general math finance topics and it includes some more advanced topics. The book is titled An Elementary Introduction to Mathematical Finance and it was written by Sheldon Ross.
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Thank you:)
You are really helping me in getting good at math , professor Dumbledore
Paul Wilmott has some excellent books on Quantitative Finance.
One of them showed how the Black Scholes differential Equation is really just the standard heat/diffusion equation which makes it easier to solve for many exotic options.
I'm already drooling... I certainly want that book and what is more to learn from it... So I thank you so much for sharing this! ❤
Damn!this is exactly what I was wondering about,the relation between math and stock market!!
Using calculus in options is super fun and super exciting!!!
I have added almost every book you've suggested into my library. I've caught the bug!
Would be interested to hear your reading suggestions for actuarial mathematics outside of the standard probability and statistics texts.
Keep on sharing the mathegamic!
If you are math literate (undergrad level), this book is the easiest way to get into the finance math. Highly recommend.
I'm just finishing up a master's in maths and finance and from the contents page this book looks great. It covers lots of different topics. To any aspiring quants, this book would be great for interview prep.
Hi, amazing video. I studied Engineering and loved books by Sheldon Ross but I heard so many critics saying that from a math perspective he is not very "precise".... I am glad to find that you also appreciate it.
Derivative markets by McDonald, Robert is pretty good - starts with financial basics then moves into option, black scholes Merton and martingales. Then one of my favorite books which covers actuarial value (expected present value) and survivor based models is Actuarial Mathematics for life contingencies by Dickenson, Hardy, Waters.
Feel like knowing common financial forms like series, multiple state models, reserving maths is all super awesome and can be applied anywhere underneath a mono-decreasing convex function. So some really cool maths actuarial notation is clunky at first (like physics) but gets much more clear and utility is really good.
I study Finance at university and we just started learning the basics of options. I look forward to learning more about them next semester.
Interesting financial tool that’s been used for speculative gambling for centuries even though it’s purported use is for hedging. Just goes to show todays “degens” are nothing new!
Very instructive and inspirational
Thank you so much professor !!
In 1998 Scholes' firm Long Term Capital Management, lost $4 billion in six weeks. ( BBC April 28, 2012)
Oh yes I think I remember reading about this!!!!!
Yet another awesome video from our resident wizard.
Mathematical finance sounds interesting. Never had the opportunity to be exposed but I will look for this book. I always look forward to your videos to be exposed to either new ideas or new ways to learn mathematical concepts I have seen before. They layout is clean. Is it a reference book or is it for teaching the subject?
Oh hey:) It's a book that can easily be used to teach several courses involving mathematical finance. This is probably why it does not have solutions. They were probably left out because many instructors like using the homework questions as actual homework or even test questions. This is a big advantage of books with no solutions for teachers. This is not good for people who want the book for self-study, but it is good for the instructors who use the book to teach if they want to take that route with their homework and test questions.
It's also an excellent reference book I think. It has a very clean layout. I really like the book, it's quite unique compared to many of the others I own:)
I LOVE YOUR VIDEOS!!!
Answers aren’t provided because you’re ultimately at the mercy of the specialist(s) giving you the quotes. If it seems like they’re being nice/friendly, >80% of the time it’s because you’re about to take the wrong side (for short term trades specifically).
Tudor references this in the book “Market Wizards,” and I have found it to be consistent in my personal career (former head of derivative strats for institutional macro fund).
Reading up on Kelly Criterion can definitely help to cultivate a better understanding of risk management and trade sizing for those interested in markets as well.
Disclosure: I’m not a quant, but was blessed to have had several old school mentors that assisted in cultivating my personal competency earlier on near the start of my career, so it wasn’t systematic, but more top/down analysis that’s associated with discretionary macro.
I used to be a "strat" (quant developer) in the securities division at Goldman. The book that was recommended to me that I felt was the best was Neftci "An Introduction to the Mathematics of Financial Derivatives". A lot of students get told by their uni professors to read Hull, which is definitely not great. If you're serious about stochastic calculus, "The Volatility Surface" by Jim Gatherall is really great and goes through the models (Dupire, Heston etc) that people actually use most in options markets. There are some amazing books published by Springer on Stochastic calculus for Finance especially for interest rate derivatives but they are very advanced and way out of my league (certainly they were at the time) since I didn't study maths at university.
Can I ask what your major was? I want to get into finance but I’m not sure if mathematics would be better for learning about options.
@@advikdeshmukh805 if you want to get into finance, maths or physics are definitely the best although there are good other options. I did music which, if you want a career in finance is definitely doing it on hard mode.
Small correction: Fischer Black was not awarded a Nobel prize because he died a couple of years before Black-Scholes was recognised in 1997. Prizes are not awarded posthumously.
Thank a lot for your sharing. Btw, can you recommend any good books on Linear Programming and Optimization ? Some books are just too hard to understand for me :
Saw your video on learning calculus without trigo, was using that to relearn colleague math that I took years ago. Was wondering if you have a series of books (my guess is including this) that is useful for quantitative finance after learning the basic calculus and linear algebra
Hi math sorcerer! Could you review your favourite or any book of mathematics for economics? Thanks
Would love a video on economics, statistics, digital marketing/marketing books
Wonderful ideas! Thank you so so much!!
Could you cover
“Mathematical Techniques: An Introduction for the Engineering, Physical, and Mathematical Sciences” by Dominic Jordan and Peter Smith ?
Do I need measure theory? Im just wondering cuz this seems to use Brownian motion...
Shreves 1 and 2 are a staple in the industry.
Hi Math Sorcerer Sir. Do you have books on Econometrics?
I think econometrics is a bit too specific, but I think he could give good suggestions on math for economics!
Would love to know thos
Hi Mr. Sorcerer. Would you recommend some books for economics including math and application. Thank you
Option volatility and pricing by Natenberg is excellent for options and trading theory
Good Morning Sir, can you make a video explaining deeply what is Riemann Hypothesis. ❤
Hello Sir. Please I am an IB student and i have watched tons of your videos and I must confess that you are a great teacher and mentor. Please Sir I will like to ask you something outside the box. Do have any recommendations for self taught business management and chemistry. Thank you.
Hi, what mathematical finance with solutions book do you recommend for beginners?
Thankyou sir❤
The third edition is available.
This is my specialty; i have an MS in financial math
oh wow very nice!!
Black-Scholes is bunk - it assumes geometric brownian motion, *but no financial time series follows geometric brownian motion*! This is why so many option traders implode.
Do you trade stocks/options? Would be great to hear your opinion on it!
how do you manage to read all these books man, you are incredible!
Maybe he just simply collects them and does not really read them
I mean, he's a math professor, he is probably used to reading math related books all the time.
He probably is capable to read them diagonally sincr it is already familiar with and master the concepts, when I get a book in my field I do not read it all, I use it as refrence and only read either that part I need for a specific new project or it is new for me. None can read all the books related to the field the person is engaged, the better you are the better you manage your time and eficient you become. Reading all would make you very little competitive in this world with little time
@@junal27 right right thank you
I have not read this book yet. However, from your comments, I gather that this book is not instructional. But it functions as a primer for the study of mathematical finance. It sounds descriptive in nature. I would not expect numerous exercises and their answers for such a text. But I will give it a read.
What if I deal with TBI ????? What can I do to help my Brain in every way possible????
pls tell us books for apply math on the real world 🙏🙏🙏
Sir, i have a question: Is this book useful for someone who is trying to complete CFA
What’s the difference between 1st 2nd and 3rd editions
Math Sorcerer, I suggest you make a review of "Dantine and Donaldson - Intermediate Financial Theory". It's a book on theoretical Financial Economics full of Mathematics.
Post more science books thanks
Do the book available in Indian Amazon
Sheldon is a paper/publishing machine. Wow. The guy knows probability like (plu)fish know water.
Can you please review the jee advanced maths paper
The Kelly Capital Growth Investment Criterion: Theory and Practice by Edwin O. Thorp
@TheMathSorcerer ,I think there's a mistake in the video. American options are not options that are sold at US Exchanges. American options just mean options that can be exercised at any time. The majority of options sold around the world are American options. It actually has nothing to do with where the options are sold.
Pranam sir jii
Yes sir 🤴🏿
Introductory to Econometrics by Wooldrige
Do you have a networth target? Ie if you could just trade forever using Mathematical models for a living? I think the Hull book is still the main bible in quant Finance?
Hull is very surface level. It's not very mathematical. More of a guide for people without a mathematical background.
@@singularity3724 Yes, but some people are going to focus on the application on. Practical aspect to make money for calls and puts. They will be less interested in the mathematical aspect. Their only interest is understanding it enough and if it is making them $$$
@@singularity3724 A lot of mathematicians lose focus on what their main goal is. Financial mathematics application is about using the financial products and risk management to make money and manage it. Its no longer about the beauty of mathematics that a lot of math majors were used to.
Hey math sorcerer how do I find myself a mathematical tribe?
Hi math sorcerer, do you have ph.d in mathematics
Markets authority..on pricing (link _ communication across exchange / formula_impact (timebase, phys non phys availability, volume) between asset & asset future ?? Where to look?
Options - frankly prefer it not there
Basically it's financial math for mathematicians that want to go into finance in serious terms.
❤️
one classic finance book is by John Hull, Options, Futures, and Other Derivatives. Not a mathematical finance book though.
Yes
Good morning sir jii
Good morning!!!!!!
Hmm
It's easy book without much prove.
😊😊😊
f you want to create software for the business community, you need to know this stuff backwards and forwards. Your CFO will expect it.
(:
I don't think names "European" and "American" refer to where they are actually traded. While the Black Scholes PDE is a very elegant and beautiful mathematical formula, it doesn't work in practice. Overconfidence in mathematics has been the downfall of many people in finance.
The key issue as has been proven is that you cannot possibly predict financial markets scientifically by just throwing a ton of math at it. Finance is not a science because there are no triple blinded clinical trials with control groups. You think you may be able to predict future events, using ‘ physics-envy’ but what you cannot possibly do is to predict 8 billion people’s reactions to those events. The noble laureates who founded options theory went broke in spectacular style.
why does every intelligent guy have the name SHELDON.....Sheldon Ross, Sheldon Natenberg, Sheldon Cooper.
Sell, don't buy, options.
You are welcome.
Why exactly?
@@David-ks4pk Buying options is like buying very expensive lottery tickets. Selling options is like selling insurance. You collect the premium immediately. If you sell options with a "delta" of 0.20, or less, you have an 80% or higher probability that the option you sold will expire worthless. Buying options is speculating: i.e. *gambling* .
@@1dantownthanks for the insight.
@@1dantown but does that not make selling options speculation too? You are gambling that price will stay below your strike price, even with probability in your favour.
@@David-ks4pk Of course. The odds are much much better for an option seller, than an option buyer. You the option seller are "the house" as in "the casino". The option buyer is already "in the hole" for the amount he paid up front for the option. He has to make his money back just to break even. You the seller already got paid. If you sell 30 days to expiration options, you have time to adjust your position, should it go against you.
noBEL prize :)
Gripe about math books:
TLDR: Not having answers cheats students. How do you know if you are doing the problems right? It's Ivory tower academic elitist bullshit.
I absolutely HATE it when math books do not have the answers! Having only half answers is almost just as dumb. I made my best progress in math, and developed a love and interest in math, when I used an instructors annotated edition of my PreCalc book. I got immediate feedback on when/how I was wrong. (Sometimes the answers are wrong and I think they do that on purpose) When answers were wrong, I went with my own after checking, double checking, and triple checking. I didn't need to wait 2 weeks for the professor/teacher to return my homework to see if and how I missed a problem. By then it's too late. Give the students the answers, place more emphasis on the tests/quizzes than the homework, let the cheaters cheat and the rest of us prosper.
I love your videos. They are motivating and I love the smell of old books, too!
All forex /options traders gather here