References

Theory of Probability and Stochastic Processes

D. Applebaum. Lévy Processes and Stochastic Calculus. Cambridge University Press, 2009.

K.B. Athreya and S.N. Lahiri. Measure Theory and Probability Theory. Springer Texts in Statistics. Springer-Verlag, 2006.

Z. Brzeźniak and T. Zastawniak. Basic Stochastic Processes: A Course Through Exercices. Springer-Verlag, 1999.

M. Capinski and P.E. Kopp. Measure, Integral and Probability. Springer Undergraduate Mathematics Series. Springer-Verlag, 2004.

R. Cont and P. Tankov. Financial Modelling with Jump Processes. Chapman & Hall/CRC Financial Mathematics Series. Taylor & Francis, 2004.

W. Feller. An Introduction to Probability Theory and Its Applications, volume 1. John Wiley & Sons, 1971a.

W. Feller. An Introduction to Probability Theory and Its Applications, volume 2. John Wiley & Sons, 1971b.

A. Gut. Probability: a Graduate Course. Springer-Verlag, 2005.

A. Gut. An Intermediate Course in Probability. Springer-Verlag, 2009.

R.V. Hogg and E.A. Tanis. Probability and Statistical Inference. Pearson/Prentice Hall, 8th edition, 2010.

M. Jeanblanc, M. Yor, and M. Chesney. Mathematical Methods for Financial Markets. Springer Finance. Springer-Verlag, 2009.

I. Karatzas and S.E. Shreve. Brownian Motion and Stochastic Calculus. Graduate Texts in Mathematics. Springer New York, 1991.

S. Karlin and H.M. Taylor. A First Course in Stochastic Processes. Academic Press, 1975.

S. Karlin and H.M. Taylor. A Second Course in Stochastic Processes. Academic Press, 1981.

F.C. Klebaner. Introduction to Stochastic Calculus with applications. Imperial College Press, 2005.

H.H. Kuo. Introduction to Stochastic Integration. Springer-Verlag, 2006.

B.K. Øksendal. Stochastic Differential Equations: An Introduction with Applications. Springer-Verlag, 2010.

M.M. Rao and R.J. Swift. Probability Theory with Applications. Mathematics and Its Applications. Springer-Verlag, 2006.

A.N. Shiryaev. Probability. Graduate Texts in Mathematics. Springer-Verlag, 1996.

Introduction to Mathematics of Finance

R. Brown, S. Kopp, and P. Zima. Mathematics of Finance. McGraw-Hill Ryerson Limited, 7th edition, 2011.

J.R. Buchanan. An Undergraduate Introduction to Financial Mathematics. World Scientific, 2008.

M. Capiński and T. Zastawniak. Mathematics for Finance: An Introduction to Financial Engineering. Springer Undergraduate Mathematics Series. Springer-Verlag, 2003.

M. Davis, L. Bachelier, A. Etheridge, and P.A. Samuelson. Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance. Princeton University Press, 2011.

D. Lovelock, M. Mendel, and A.L. Wright. An Introduction to the Mathematics of Money: Saving and Investing. Springer-Verlag, 2007.

T. Mikosch. Elementary Stochastic Calculus: with Finance in View. World Scientific, 1998.

S. Roman. Introduction to the Mathematics of Finance: From Risk Management to Options Pricing. Undergraduate Texts in Mathematics. Springer-Verlag, 2004.

S.M. Ross. An Elementary Introduction to Mathematical Finance. Cambridge University Press, 2011.

P. Wilmott, S. Howison, and J. Dewynne. The Mathematics of Financial Derivatives: A Student Introduction. Cambridge University Press, 1995.

Mathematics of Finance (Discrete-Time)

M. Capiński and E. Kopp. Discrete Models of Financial Markets. Mastering Mathematical Finance. Cambridge University Press, 2012.

H. Föllmer and A. Schied. Stochastic Finance: An Introduction in Discrete Time. De Gruyter Textbook Series. De Gruyter, 2011.

P.K. Medina and S. Merino. Mathematical Finance and Probability. A Discrete Introduction. Birkhauser, 2004.

S.R. Pliska. Introduction to Mathematical Finance: Discrete Time Models. John Wiley & Sons, 1997.

S.E. Shreve. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer Finance. Springer-Verlag, 2012.

Mathematics of Finance (Continuous-Time)

C. Albanese and G. Campolieti. Advanced Derivatives Pricing and Risk Management: Theory, Tools and Hands-on Programming Application. Academic Press advanced finance series. Elsevier Academic Press, 2006.

M. Avellaneda and P. Laurence. Quantitative Modeling of Derivative Securities: From Theory To Practice. Chapman & Hall/CRC, 1999.

K. Back. A Course in Derivative Securities: Introduction to Theory and Computation. Springer Finance. Springer-Verlag, 2005.

M. Baxter and A. Rennie. Financial Calculus: An Introduction to Derivative Pricing. Cambridge University Press, 1996.

D. Brigo and F. Mercurio. Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit. Springer Finance. Springer-Verlag, 2007.

A.J.G. Cairns. Interest Rate Models: An Introduction. Princeton University Press, 2004.

R.-A. Dana and M. Jeanblanc. Financial Markets in Continuous Time. Springer Finance. Springer-Verlag, 2003.

R.J. Elliott and P.E. Kopp. Mathematics of Financial Markets. Springer-Verlag, 2005.

A. Etheridge. A Course in Financial Calculus. Cambridge University Press, 2002.

J.-P. Fouque, G. Papanicolaou, and K.R. Sircar. Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press, 2000.

Y.K. Kwok. Mathematical Models of Financial Derivatives. Springer Finance. Springer-Verlag, 2008.

A.L. Lewis. Option valuation under stochastic volatility: with Mathematica code. Finance Press, 2000.

A.N. Shiryaev. Essentials of Stochastic Finance: Facts, Models, Theory. Advanced series on statistical science & applied probability. World Scientific, 1999.

S.E. Shreve. Stochastic Calculus for Finance II: Continuous-Time Models. Springer Finance. Springer-Verlag, 2010.

P. Wilmott. Derivatives: the Theory and Practice of Financial Engineering. Wiley Frontiers in Finance Series. John Wiley & Sons, 1998.

Computational Methods

G. Fusai and A. Roncoroni. Implementing Models in Quantitative Finance: Methods and Cases: Methods and Cases. Springer Finance. Springer-Verlag, 2007.

P. Glasserman. Monte Carlo Methods in Financial Engineering. Applications of mathematics: stochastic modelling and applied probability. Springer-Verlag, 2004.

A. Hirsa. Computational Methods in Finance. Chapman & Hall/CRC Financial Mathematics Series. Taylor & Francis, 2012.

P.E. Kloeden and E. Platen. Numerical Solution of Stochastic Differential Equations. Applications of mathematics: stochastic modelling and applied probability. Springer-Verlag, 1992.

R. Korn, E. Korn, and G. Kroisandt. Monte Carlo Methods and Models in Finance and Insurance. Chapman & Hall/CRC Financial Mathematics Series. Taylor & Francis, 2010.

D.L. McLeish. Monte Carlo Simulation and Finance. Wiley Finance. John Wiley & Sons, 2011.

E. Platen and N. Bruti-Liberati. Numerical Solution of Stochastic Differential Equations with Jumps in Finance. Stochastic modelling and applied probability. Springer-Verlag, 2010.

E. Platen and D. Heath. A Benchmark Approach to Quantitative Finance. Springer Finance. Springer-Verlag, 2006.

D. Tavella. Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance. Wiley Finance. John Wiley & Sons, 2003.

Financial Economics

S.L. Allen. Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk. Wiley Finance. John Wiley & Sons, 2012.

J.P. Danthine and J.B. Donaldson. Intermediate Financial Theory. Academic Press advanced finance series. Elsevier Academic Press, 2005.

J. Gatheral. The Volatility Surface: A Practitioner’s Guide. John Wiley & Sons, 2011.

J.C. Hull. Options, Futures, and Other Derivatives. Pearson Education, 8th edition, 2011.

D.G. Luenberger. Investment Science. Oxford University Press, 1997.

R.L. McDonald. Derivatives markets. Addison-Wesley series in finance. Addison Wesley, 2003.

H.H. Panjer and P.P. Boyle. Financial economics: with applications to investments, insurance, and pensions. Actuarial Foundation, 1998.