Professional Documents
Culture Documents
Baxter & Rennie Financial Calculus Brief but very good. Covers a lot of material i
n a very short book. Makes you fill in some gaps yourself---and here that is don
e well.
Etheridge A Course in Financial Calculus Patterned after Baxter/Rennie but more ad
vanced.
Musiela & Rutkowski Martingale Methods in Financial Modeling Advanced and very com
plete. Probably more a reference.
Hull Options, Futures and Other Derivatives Probably best first book. Encyclopedic
. Describes a lot of the derivative instruments.
Shreve Stochastic Calculus for Finance I:Binomial Asset Pricing Model Both volumes
very good. A .pdf of original notes is free on Web.
Shreve Stochastic Calculus for Finance II:Continuous Time Model
Hunt, Philip / Kennedy, Joanne Financial Derivatives in Theory and Practice Very g
ood but expensive. Good book to read after getting a quant job.
Interest Rate Models.
Damiano Brigo, Fabio Mercurio Interest Rate Models: Theory and Practice
Weber & James Interest Rate Modelling Very good and complete. There are many other
good books but this is well written and encyclopedic.
Finance (quantitative but broader than Derivatives)
Pliska Introduction to Mathematical Financeiscrete Time Models
Follmer & Schied Stochastic Finance
Statistics [Econometrics]
Pindyck & Rubinfeld Econometric Models & Economic Forecasting Very good but there
are a number of other good books.
Hamilton Time Series Analysis
Probability related to finance
Neftic An Introduction to the Mathematics of Financial Derivatives 2nd Ed. VERY we
ll written; makes everything seem so obvious, you may not realized that you can t
duplicate what he did since you did not even have to think about anything thus do
exercises.
Oksendal Stochastic Differential Equations 5th Ed or later. Brief but very good.
Karatzas & Shreve Brownian Motion & Stochastic Calculus Advanced. More a reference
.
Steele Stochastic Calculus & Financial Applications
Numerical Methods related to Finance
Clewlow & Strickland Implementing Derivative Models
Tavella & Randall Pricing Financial Instruments: Finite Difference Very good, but
big focus on accuracy of methods.
Wilmott, Dewynne & Howison Option Pricing Look for Cambridge not Oxford Press edit
ion---big price difference.
Paul Glasserman Monte Carlo Methods in Financial Engineering
Portfolio
Markowitz Portfolio Selection Old but classic.
Markowitz Mean-Variance Analysis in Portfolio Choice & Capital Markets
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