Think of this as "calculus for engineers vs. analysis", and imagine how well a civil engineering interview would go if you talked about different types of integrals instead of talking about how to use the basic stuff to build good bridges.
That analogy shouldn't apply to
quantitative trading on Wall Street:
That challenge needs more than
just engineering math approaches
if only to read the literature.
E.g., apparently broadly the first cut
way to evaluate exotic options is
to use the Brownian motion solution to
the Dirichlet problem, that is,
the subject of Markov processes and
potential theory. The subject is
awash in measure theory, e.g.,
stopping times, the strong Markov
property, regular conditional
probabilities, of course
conditioning and the Radon-Nikodym theorem.
This isn't advanced calculus
for engineers. E.g., the work of
Marco Avellaneda at NYU Courant,
Steve Shreve at CMU, no doubt the
work of E. Cinlar at Princeton.
Comments
That analogy shouldn't apply to quantitative trading on Wall Street: That challenge needs more than just engineering math approaches if only to read the literature.
E.g., apparently broadly the first cut way to evaluate exotic options is to use the Brownian motion solution to the Dirichlet problem, that is, the subject of Markov processes and potential theory. The subject is awash in measure theory, e.g., stopping times, the strong Markov property, regular conditional probabilities, of course conditioning and the Radon-Nikodym theorem. This isn't advanced calculus for engineers. E.g., the work of Marco Avellaneda at NYU Courant, Steve Shreve at CMU, no doubt the work of E. Cinlar at Princeton.