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CalculusLinear Algebra, Probability and Statistic

Duffie Dynamic Asset Pricing

1Analysis
1.1Mathematical Analysis
Sequences,SequenceIntuition
Summer Math Camp
Baby RudinApostol
1.2Real Analysis
UndergraduateGraduate SchoolCore CourseReal AnalysisMath PHD ProgramCore Co
RudinReal and Complex Analysis()Folland <Real Analysis: Mod
& Shakarchi <Real Analysis: Measure Theory, Integration, and Hilbert Spaces>
Folland
1.3Measure Theory
Real Analysis

BartleThe Elements of Integration and Lebesgue Measure


Real AnalysisMeasure Theory

14Fourier AnalysisClassic
Fourier AnalysisQueen of Mathematics,
1.2 Real AnalysisWavelet Analys
Fourier AnalysisHarmonic Analysi
Stein & ShakarchiKatznelson
1.5:Complex Analysis
Honors Course for Complex Analysis,Math PHDCore Course
Riemann Mapping Theorem
Brown & Churchill Complex Variables and ApplicationsStein & Shakarchi
ysisStein & ShakarchiComplex AnalysisRu

1.6:Basic Functional Analysis:


Functional AnalysisFu
FriedmanFoundation of Modern Analysis
Friedman
1.7:Advanced Functional Analysis:
Math PHDT
Basic Functio
1.8Wavelet Analysis
WaveletWaveletWavelet
UndergraduateGraduate

Frazier, An Introduction to Wavelets Through Linear AlgebraIntroduc


PinskyHernandez Weiss A First Course on Wavelets
PinskyPinsky
1.9ODE&PDE:

2Geometry&Topology:
FieldPoint-Set TopologyAlgebraic Topology Differential T
Point-Set TopologySchedule
Point Set Topology
LLNCLTEmbeddingCLT for Matingale Diff
Munkres
3.1Linear Algebra
Linear Algebra

Honors
Abstract AlgebraGroupRingLinear Algebra
CurtisL
3.2Abstract Algebra
EconAnalysisAbstract Algebr

EconFinance
1
1.1Basic Probability Theory
Measure-Theory
DurrettThe essentials of Probability
Durrett Basic ProbabilityPr

1.2Measure-Based Probability-Probability I
Introduction to Stochastic Process-Probability IICore Cou
Measure Theory
Measure TheoryMeasure T
MartingaleLLNCLTIIDIndependent bu
ProbabilityDurrett,Probability: Theory and Examples
bability Path Jacod & ProtterProbability Essentials, DudleyReal Analysis and Pr
evProbabilityA Course in ProbabilityProba
Billingsley Measure TheoryBrownian Moti
DurrettMath PHDMeasure Theory
Durrett Probability I&IIOne Year Sequence

ShirayevRussianDurrett Probab
WilliamsProbabilityMartingale
Resnick ORProbabilityResnickOR
DudleyProbabilityLimit TheoremMartingaleBrownian Motion
MITMIT Opencourse
Jacod & Protter
FinanceBusiness SchoolMertonDuffie
IntuitionEcon
SDEFinanceB-S

BillingsleyDurrettShirayev
1.3Introduction to Stochastic Process-Probability II
Discrete time Stochastic Process,Martingale, Markov Chain, Stationary Pro
an Motion(BM)Introduction to Itos Integral with respect to BM
BillingsleyProbability
BM Stationary ProcessWilliams, Resnick , Dudley
DurrettShirayevBillingsley
1.4Continuous time SP, Stochastic Integral and SDE, Weak Convergence and Convergen

ce of SP, Limit Theorems for Dependent Sequence


Monograph
FinanceContinuous time
Revuz and Yor, Continuous time martingale and BM()
Williams and Rogers, Diffusions, Markov Process and MartingalesI & II
OksendalStochastic Differential Equations(S
Karatzas and Shreve, BM and Stochastic CalculusGTM
ProtterStochastic integration and differential equations
ShreveStochastic Calculus for FinanceVol IIContinuous
Weak Convergence and Convergence of SP
Billingsley Convergence of Probability Measure
Jocod and ShereveLimit Theorems for Stochastic Process
Ethier and KurtzMarkov Process: Characterization and Convergence
Van der Vart and Weller, Weak Convergence and Empirical Process(Empirical Pro

Limit Theorems for Dependent Sequence


Time Series Analysis
Hall, Martingale Limit Theorems
Davidson, Stochastic Limit TheoremBillingsley<Conve

2
2.1Basic Mathematical Statistics
1.1Basic Probability Theory
IGallantAn Introduction to Econometric TheoryBi
ics: Basic Ideas and Selected TopicsI
Casella & BergerBickel & DokosumI
2.2Measure-based Mathematical Statistics I & II
Sequence
Statistical InferencePoint Estimation, Hypoth
Theory of Point EstimationTPE by Lehmann and CasellaT
U of Wisconsin at MadisonStatistics PHDMath Stat Core Squence

TPETSHShao JunBayesianBer
2.3Asymptotic Statistics
Asymptotic StatisticsM-Statistic, U-StatisticMLEA
2.4Topics in Modern Math Statistics
One-Year Core SequenceAsymptotic
NonparametricSemi-parametricBootstrapEmpirical Likelihood
Bootstrap EconometricsEcon FinanceS