Sunday, September 21, 2008

Introductory Mathematical Finance

M. Avellaneda and P. Lawrence, Quantitative Modeling of Derivative Securities, Chapman and Hall/CRC, 1999
M. Baxter and A. Rennie, Financial Calculus: An Introduction to Option Pricing, Cambridge, 1996
T. Björk, Arbitrage Theory in Continuous Time, Oxford, 2004
M. Capinski and T. Zastawniak, Mathematics for Finance : An Introduction to Financial Engineering, Springer Undergraduate Mathematics Series, 2004
V. Goodman and J. Stampfli, The Mathematics of Finance: Modeling and Hedging, Brooks Cole, 2000
H. Follmer and A. Schied, Stochastic Finance: An Introduction in Discrete Time, 2nd Edition, Springer, 2004
J. C. Hull, Options, Futures, and Other Derivatives (with code), 7th edition, Prentice Hall, 2007
P. Hunt and J. Kennedy, Financial Derivatives in Theory and Practice, Wiley, 2004
J. E. Ingersoll, Theory of Financial Decision Making, Rowman & Littlefield Publishers, 1987
R. Jarrow and S. Turnbull, Derivative Securities, 2nd edition, South-Western College,1999
M. S. Joshi, The Concepts and Practice of Mathematical Finance, Cambridge, 2003
D. Lamberton and B. Lapeyre, Introduction to stochastic calculus applied to finance, Springer, 1996
D. G. Luenberger, Investment science, Oxford, 1997
M. Musiela and M. Rutkowski, Martingale Methods in Financial Modelling, Springer, 1997
S. Neftci, An introduction to the mathematics of financial derivatives, 2nd edition, Academic Press, 2000
S. Neftci, Principles of Financial Engineering, Academic Press, 2004
S. R. Pliska, Introduction to Mathematical Finance: Discrete Time Models, Blackwell, 1997
S. Ross, An Elementary Introduction to Mathematical Finance, 2nd edition, Cambridge University Press, 2002
S. E. Shreve, Stochastic calculus and Finance I: Binomial Model, Springer, 2004
S. E. Shreve, Stochastic calculus and Finance II: Continuous-time finance, Springer, 2004
J. M. Steele, Stochastic calculus and financial applications, Springer, 2000
P. Wilmott, Paul Wilmott on Quantitative Finance, 2nd edition, 3 volume set, Wiley, 2006
P. Wilmott, S. Howison, and J. Dewynne, The Mathematics of Financial Derivatives, Wiley