Thursday, January 25, 2007

Back to the drawing board

Although I've never planed to spend my life as a Quant ---- My discrete, engineer brain is just not well trained for it ---- I have long realized that a better understanding of quatitative finance would provide tremendous help for my work (risk management system design, for example). I have finally decided to spend some serious time to study PDE and SDE, the mathematical corner stones of financial engineering, also subjects that I have given back to my college calculus professor for a long time. At the end of the tunnel, I hope that I could have a better grasp on models that utilize tools such as the Itō's lemma: Here is a pretty decent explanation for the non-quant types.