A question about measure Theory

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A question about measure Theory

Postby Jason » Mon Dec 29, 2014 10:30 pm

Hello Mark,

I have a little question regarding Measure theory. I already had a stochastic calculus course with no backround on measure theory. I have a general understanding of the concepts. But now i'm thinking about doing some Measure theory in order to better master stochastic calculus and pricing.

My questions are :

- To which extent is it important to learn measure theory for someone willing to become a quant? (I mean what, conceretely, the things one misses when not understanding measure theory when doing stochastic calculus and pricing)

- I would need your advice for the easiest and the most intuitive book on the subject in case you recommand doing measure theory. Also what points in measure theory your recommand to emphysis in that case?

Really thanks for you help in advance. And many thanks for your great books!!!!

Best regards
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Re: A question about measure Theory

Postby mj » Mon Jan 19, 2015 10:30 pm

well measure theory is a language and a framework, stochastic calculus is done within. Lots of quants don't really know it.

The main issue with not knowing it is that some papers are hard to read and so it can slow you down.

In terms of books, you could look at

Wiersema Brownian motion calculus
Williams Probability with martingales
Weir Lebesgue Integration and Measure
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