DISCIPLINE TRACK 02 // PROBABILITY & SDE
Probability & Stochastic Calculus
Continuous-time finance, stochastic differential equations (SDEs), geometric Brownian motion Euler-Maruyama simulation, Itô's Lemma drift corrections, Ornstein-Uhlenbeck processes, and Girsanov change of measure.
TARGET DESKS:
Jane Street
Hudson River Trading
Jump Trading
Citadel
Track Problem Set
5 AUDITED INSTITUTIONAL CHALLENGES
5 of 5 Challenges