Reference Text Blog

Introductory Mathematical Finance

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  • M. Baxter and A. Rennie, Financial Calculus: An Introduction to Option Pricing, Cambridge, 1996
  • T. Bj√∂rk, Arbitrage Theory in Continuous Time, Oxford, 2004
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  • H. Follmer and A. Schied, Stochastic Finance: An Introduction in Discrete Time, 2nd Edition, Springer, 2004
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  • R. Jarrow and S. Turnbull, Derivative Securities, 2nd edition, South-Western College,1999
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  • 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