2014-12-07

Not as scary as you might think

Do you know anything about real analysis and measure theory? I was thinking about a gambling problem I couldn't figure out and dug in to find out why. I still don't have an answer, but I learned that measure theory isn't as scary as I thought. If you don't know anything about it, these are two, very accessible introductions:

why use measure theory for probability part 1 - https://www.youtube.com/watch?v=RjPXfUT7Odo&feature=player_embedded

intro to brownian motion and the ito integral part 1 - https://www.youtube.com/watch?v=fEsnMyi5-8k&list=PLC7A868A384F6EFF0

here is the guy from the first video http://www.math.missouri.edu/~evanslc/

Terrance Tao's boodk http://terrytao.files.wordpress.com/2012/12/gsm-126-tao5-measure-book.pdf

A really simple intro to financial math from a cs teacher https://www.youtube.com/playlist?list=PL1BaGV1cIH4UXkZgrX2TtXhvUQW6_4hZF

he also has a site for these videos, might want to check out the probablility refreshers for FE's: http://byrnetube.com/mathematicalFinance.php

this all started from some guy's comments about measure theory on this "how to quant" HN post https://news.ycombinator.com/item?id=8698986

I want to do a calc refresher. Here are some resources for doing that:

calc refresher (See notes) https://news.ycombinator.com/item?id=2258794 http://ocw.mit.edu/resources/res-18-006-calculus-revisited-single-variable-calculus-fall-2010/ http://ocw.mit.edu/resources/res-18-005-highlights-of-calculus-spring-2010/ http://ocw.mit.edu/ans7870/resources/Strang/Edited/Calculus/Calculus.pdf

Mathematics: Its Content, Methods and Meaning - preview on books.google.com available at Olin Level B Stacks QA36 A453 in all three parts. And it is only $25 on amazon http://www.amazon.com/Mathematics-Content-Methods-Meaning-Dover/dp/0486409163/

And also i should read Sheldon Axler's "Linear Algebra Done Right"