Ask HN: Good Book on Stochastic Differential Equations?

5 pointsfaizshah4 comments

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.

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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

Thanks! Exactly what I was looking for.

Glad it helped. :)

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

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