Financial Mathematics and Probability References
 
 
 
 
Books on mathematical finance appear at a rate of about one book per week. The list below is not complete at all but may serve as a good starting point.
  1. Financial mathematics
    1. M. Baxter, A. Rennie ``Financial Calculus. An Introduction to derivative pricing''
    2. J. Cvitanic and F. Zapatero ``Introduction to the Economics and Mathematics of Financial Markets''
    3. D. Duffie ``Security Markets. Stochastic models''
    4. V. Goodman and J. Stampfli "The Mathematics of Finance: Modeling and Hedging"
    5. J.C. Hull ``Options, Futures, and Other Derivatives''
    6. I. Karatzas ``Lectures on the Mathematics of Finance''
    7. I. Karatzas and S. Shreve "Methods of Mathematical Finance"
    8. R. Korn and E. Korn ``Option Pricing and Portfolio Optimization''
    9. D. Lamberton and B. Lapeyre ``Introduction to Stochastic Calculus Applied to Finance''
    10. T. Mikosch ``Elementary Stochastic Calculus with Finance in View''
    11. M. Musiela and M. Rutkowski ``Martingale Methods in Financial Modelling''
    12. S.N. Neftci ``An Introduction to Mathematics of Financial Derivatives''
    13. A.N. Shiriaev ``Essentials of Stochastic Finance : Facts, Models, Theory''
    14. S. Shreve ``Stochastic Calculus for Finance'', vol I and II
    15. R.J. Williams ``Introduction to the Mathematics of Finance''
    16. P. Wilmott, S. Howison, J. Dewynne ``The Mathematics of Financial Derivatives. A Student Introduction''
    17. D. Wong ``Generalised Optimal Stopping Problems and Financial Markets''
  2. Undergraduate probability
    1. Paul G. Hoel, Sidney C. Port and Charles J. Stone. ``Introduction to probability theory''
    2. S. Karlin and H.M. Taylor ``A First Course in Stochastic Processes''
    3. S. Karlin and H.M. Taylor ``A Second Course in Stochastic Processes''
  3. Graduate probability
    1. K.-L. Chung ``A course in probability theory''
    2. R. Durrett ``Probability: theory and examples''
  4. Stochastic analysis
    1. R.F. Bass ``Probabilistic Techniques in Analysis''
    2. K.L. Chung and R.J. Williams. ``Introduction to stochastic integration''
    3. I. Karatzas and S.E. Shreve ``Brownian Motion and Stochastic Calculus''
    4. T. Mikosch ``Elementary stochastic calculus with finance in view''
    5. B. Øksendal ``Stochastic differential equations. An introduction with applications''
    6. L.C.G. Rogers and D. Williams ``Diffusions, Markov Processes and Martingales, Vol. 2: Ito Calculus''
    7. D. Williams ``Diffusions, Markov Processes and Martingales, Vol. 1: Foundations''

 
 
 
Last modified: November 17, 2006, 15:41        Bookmark and Share