Hi guys, I just recently graduated from an Actuarial Science degree. I need some guidance in the study materials for the mathematical finance topics.
I basically secured a really good supervisor for my master's degree but it's yet to start. The field will be in option pricing consisting of stochastic calculus as i anticipated when I chose this topic. What I didn't anticipate is that it consists of more than just general "differential equations" and "stochastic calculus", it is more than that. I know stochastic calculus is based on measure theory (I have actually finished shreve volume 2 book), what I didn't know is that measure theory and fourier transform plays a really huge part in it also. As of now in any "advanced book", it's almost certain that I can't move on without learning complex analysis (fourier transform and analysis) and measure theory because it's heavily used.
I have taken some courses on maths consisting of:
linear algebra
calculus
differential equations
discrete mathematics (simple)
general probability (extremely easy without any measure theory at all)
derivative securities courses (black scholes, ito lemma nothing too complicated)
some bull shit useless courses that I probably won't be using it for the rest of my life.
What I know I can't move on without reading additional materials
fourier transform and analysis
measure theory
While I would like to "solely" learn up the materials, they appears to have some prerequisite on other materials. If I am not mistaken to understand measure theory, I have to know well about the analysis subject. Same goes to fourier transform and analysis, to understand it, I have to know well about complex analysis.
Can anyone provide their opinion on this matter. I am quite lost to be honest. Did I correctly identify the prerequisites? Do I really need them to move on (learn fourier transform and analysis and measure theory)? If not, please enlighten me.... Quite regret not taking a maths degree in the first place @.@
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