Probability Theory for Quants: Desk-First

Probability Theory for Quants is a desk-first set of notes that teaches probability the way quants actually use it: as a framework for risk, tails, information flow, and pricing measures—not as a “memorize-theorems” textbook.

What you’ll cover (full roadmap)

You’ll build a complete quant-probability toolkit across:

Probability as risk geometry (scenario trees, σ-algebras, measurability)

Expectation & risk measures (VaR/CVaR/convex risk)

Distributions as market regimes (fat tails, mixtures, jump risk)

Conditioning & filtration (information flow, avoiding look-ahead bias)

Martingales & stopping (fair games, pricing intuition)

Markov processes, Brownian motion, diffusions, jumps

Change of measure & Girsanov, copulas & dependence

Extreme Value Theory, estimation & calibration

Advanced extensions: Malliavin calculus (Greeks), rough paths, optimal transport

Probability Interview Mastery (pressure questions + fast solution patterns)

How these notes are different

You’re explicitly guided to:

Visualize uncertainty and tails

Translate math into P&L language

Use formulas as confirmation, not the starting point

Bonuses included

Appendix A: Quant Probability Cheat Sheet

Distribution facts, conditioning identities, martingale/Markov quick tests, change-of-measure checklist, and an EVT tail workflow.

Appendix B: Exam Pack — 80 targeted problems (with concise solutions)

Designed for 5–7 minute interview/exam conditions.

Interview shortcuts library (symmetry, indicators, conditioning-first) to speed up answers under pressure.

Who this is for

Aspiring quant researchers / strat / risk quants

Candidates prepping for quant interviews (especially probability-heavy rounds)

Practitioners wanting a compact refresher that connects probability to risk systems and pricing logic

Coupon code

Use PROBABILITY10 for 10% off.

Regular disclaimer

No affiliation / endorsement with any firm mentioned; names are used only for educational context.

Trademarks belong to their respective owners; no endorsement implied. None

Not investment advice: educational/informational only; not a recommendation or solicitation.

No warranty on accuracy/completeness; use at your own risk.