- Bachelier: Theory of Speculation - The Origins of Modern Finance. Translated by Mark Davis and Alison Etheridge, Princeton University Press, 2006
- Baxter/Rennie: Financial Calculus, Cambridge University Press, 1996
- Bingham/Kiesel: Risk-Neutral Valuation: Pricing and Hedging Financial Derivatives, Springer Finance 1998
- Bluhm/Overbeck/Wagner: An Introduction to Credit Risk Modeling, Chapman & Hall/CRC, 2002
- Björk: Arbitrage Theory in Continuous Time, Oxford University Press, 1998
- Branger/Schlag: Zinsderivate, Springer 2004
, see also Review in The MathFinance Newsletter.- Brigo/Mercurio: Interest Rate Models: Theory and Practice, Springer Finance 2001
, see also http://www.damianobrigo.it/book.html.- Clewlow/Strickland: Energy Derivatives - Pricing and Risk Management, Lacima Publications 2000
- Cvitanic/Zapatero: Introduction to the Economics and Mathematics of Financial Markets, The MIT Press 2004
- Delbaen/Schachermayer: The Mathematics of Arbitrage, Springer 2006
- Deutsch: Derivate und Interne Modelle. Modernes Risikomanagement. Schäffer-Poeschel Verlag 2001
- Duffy: Financial Instrument Pricing Using C++, The Wiley Finance Series
- Elliott/Kopp: Mathematics of Financial Markets, Springer Finance 1998
- Embrechts/Klüppelberg/Mikosch: Modelling Extremal Events, Springer 1997
- Fengler: Semiparametric Modeling of Implied Volatility, Springer Finance 2005
- Flannery/Press/Teukolsky/Vetterling: Numerical Recipes, Cambridge University Press (available in Fortran, Pascal and C with sample disk)
- Föllmer/Schied: Stochastic Finance, An Introduction in Discrete Timede Gruyter
- Fouque/Papanicolou/Sircar: Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press
- Fries: Mathematical Finance: Theory, Modeling, Implementation. Wiley, 2007, http://www.christian-fries.de/finmath
- Glasserman: Monte Carlo Methods in Financial Engineering Springer 2003
- Golub/van Loan: Matrix Computations, third edition, Johns Hopkins University Press 1996
- Härdle, Weron, Cizek: Statistical Tools for Finance and Insurance, Springer 2005
- Haug: The Complete Guide to Option Pricing Formulas, McGraw-Hill 1997
- Hull: Options, Futures and other Derivatives, 4th ed. , Prentice Hall 1999
- Hunt, P.J./Kennedy, J.E.: Financial Derivatives in Theory and Practice Wiley 2000
- Jarrow: Modelling Fixed Income Securities and Interest Rate Options, McGraw-Hill 1996
- Joshi, Mark, The Concepts and Practice of Mathematical Finance http://markjoshi.com/concepts Cambridge University Press 2004
- Jouini/Cvitanic/Musiela: Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management, Cambridge University Press
- Karatzas: Lectures on the Mathematics of Finance, Vol 8 CRM Monograph series, AMS 1996
- Karatzas/Shreve: Brownian Motion and Stochastic Calculus, 2nd ed., Springer 1991
- Karatzas/Shreve: Methods of Mathematical Finance, Springer 1998
- Korn: Optimal Portfolios, World Scientific, Singapore, 1997
- Korn/Korn: Optionsbewertung und Portfolio-Optimierung, Vieweg 1999
- Lamberton/Lapeyre: Introduction au calcul stochastique appliqué à la finance, Ellipses, 1997. This is now also available in English from CRC Press.
- Lewis: Option Valuation under Stochastic Volatility - with Mathematica Code, Finance Press, 2000, http://members.home.net/financepress/
- McNeil, Frey, Embrechts Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2005
- Attilio Meucci: Risk and Asset Allocation, 2005, Springer.
- Musiela/Rutkowski: Martingale Methods in Financial Modelling, Springer 1997
- Nagel, Hartmut: Optionsbewertung bei stochastischer Volatilität, Gabler Edition Wissenschaft (ISBN 3-8244-7204-X), 2001
- Niederreiter: Random Number Generation and Quasi-Monte Carlo Methods, SIAM 1992
- Pilipovic: Energy Risk, McGraw-Hill 1997
- Pliska: Introduction to Mathematical Finance: Discrete Time Models. Blackwell, Malden, MA 1997
- Rebonato: Interest-Rate Option Models, Wiley 1998
- Rebonato: Volatility and Correlation, Wiley 1999
- S. Reitz,W. Schwarz und M.R.W. Martin : Zinsderivate - Eine Einführung in Produkte, Bewertung, Risiken, Vieweg 2004
- Rolski/Schmidli/Schmidt/Teugels: Stochastic Processes for Insurance and Finance, Wiley 1998
- John Schoenmakers: Robust Libor Modelling and Pricing of Derivative Products, Chapman & Hall/CRC 2005
- Philipp J. Schonbucher: The Mathematics of Credit Derivatives, DVD / Interactive CD-ROM 2000
- Seydel: Numerische Berechnung von Finanz-Derivaten, Springer 2000, see
http://euklid.mi.uni-koeln.de/~seydel/buch4.html
http://euklid.mi.uni-koeln.de/numerik/compfin/- Shaw: Modelling Financial Derivatives with Mathematica, Cambridge University Press 1998
- Shiryaev: Essentials of Stochastic Finance: Facts, Models, Theory. World Scientific 1999
- Steven E. Shreve: Stochastic Calculus and Finance, lecture notes, Carnegie Mellon University, 1997. This can be downloaded from http://www.cs.cmu.edu/~chal/shreve.html.
- Steven E. Shreve: Stochastic Calculus for Finance, two volumes, 2004, Springer.
- Stephen Taylor: Asset Price Dynamics, Volatility, and Prediction, 2005, Princeton University Press.
- Jürgen Topper: Financial Engineering with Finite Elements, 2005, Wiley.
- Obi-Wan Yoda: BICs 4 Derivatives, 2005, BICs:The new paradigm in derivatives analysis -Pricing,Hedging, Risk Management.
- Zhang: Exotic Options, 2nd ed., World Scientific 1998
RISK books (http://www.riskbooks.com)
- Foreign Exchange Risk
Models, Instruments and Strategies
Editors: Jürgen Hakala and Uwe Wystup
ISBN number: 1 899332 375- Over the Rainbow
Developments in exotic options and complex swaps
Consultant Editor: Robert Jarrow, Cornell University, USA
ISBN number: 1 899332 359- Volatility
New Estimation Techniques for Pricing Derivatives
Consultant Editor: Robert Jarrow, Cornell University, USA
ISBN number: 1 899332 464- Monte Carlo
Methodologies and Applications for Pricing and Risk Management
Consultant Editor: Bruno Dupire
ISBN number: 1 899332 91X- Vasicek and Beyond
Approaches to Building and Applying Interest Rate Models
Published in association with Euro Brokers
Consultant Editor: Lane Hughston
ISBN number: 1 899332 553- Risk & Risk Bearing
Charles O. Hardy, The Institute of Economics, Washington DC, USA
ISBN number: 1 899332 677- Exotic Options: The Cutting-edge collection
Technical Papers Published in Risk 1999-2003
Edited by Alexander Lipton
Order through the above link to get a 20% discount- Credit Risk Modelling: The Cutting-edge Collection
Technical Papers Published in Risk 1999-2003
Edited by Michael Gordy, Federal Reserve Board, Washington
Order through the above link to get a 20% discountCambridge University Press links are:
.
The Oxford Finance series
comprises books authored by leading researchers and practitioners - working within the sciences and social sciences - covering the statistical, physical or mathematical aspects of economics and quantitative finance. The Oxford Finance includes monographs, texts, and multi-author works of the highest standard, which will appeal to students, researchers, and practitioners seeking a well-written, authoritative account.
All the necessary information is listed on the web site http://www.oup.com
Some highlights are
- Thomas: Readings in Credit Scoring, 2004
- Johnson: Financial Market Complexity, 2003
- Björk: Arbitrage Theory in Continuous Time 2/e (hb), 2004
- Coolen: The mathematical theory of minority games, Feb 2005
- Challet: Minority Games | Oxford Finance Series, October 2004
- Farmer: Beyond Equilibrium and Efficiency (pb & hb), Santa Fe Institute Studies on the Sciences of Complexity, May 005
Springer MathFinance books are at http://www.springer.de/math/finance/index.html
Wiley Financial Engineering books are at http://www.wileyeurope.com/cda/sec/0,,3017,00.html
World Scienfic Catologue and Imperial College Press is at http://www.wspc.com.sg/books/catalogues.html
