[mikrl]

I’ve been taking an online course in mathematical finance although it’s mostly analytic, so not much in the way of numerics and all of the options are European / fixed term.

Thanks for the article! It will be interesting to see how early exercise affects the PDE solutions.

Stochastic calculus is a few levels above undergrad physics, but it has motivated me to understand measure theory when before I couldn’t make head nor tail of it. Having a concrete end is a fantastic motivator :)

[gituliar]

You don't need fancy math to study financial modeling, like measure theory. Focus on market dynamic, like in physics try to model that with math and programming. Newton built solid models without advanced math of XX or XIX centuries. Of course, some advanced effects require advanced math, but those are built on top of simple theories, like General Relativity on top of the Newton theory.

[mikrl]

Maybe it’s the course I’m taking but a lot of the results are surprising to me.

> such and such is a martingale so this term goes to zero

This is why I dug into stochastic calculus and from there to measure theory, because it seems even the rigorous treatment of Brownian Motion springs out of Kolmogorov’s extension theorem… and every section I’ve read on optimal stopping is over my head rn.