A Curious Mind W(o/a)nders

Tuesday, May 15, 2007

Paths to Enlightenment (in Mathematical Finance)...courstesy Wilmott


0.0 First steps -- General:

A. Black Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbull
C. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska

0.1 First steps -- Interest rates:
A. Fixed Income Analytics, K Garbade

0.2 First steps -- Stochastic Calculus:
A. An Introduction to the Mathematics of Financial Deivatives, S N Neftci.

0.3 First steps -- Honourable mention:
A. Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets, A J Baird


1.0. Introductory -- General:

A. Options Markets, J C Cox, M Rubinstein
B. Options, Futures, and Other Derivatives, J C Hull
C. An Introduction to Mathematical Finance: Options and Other Topics, S M Ross
D. Paul Wilmott Introduces Quantitative Finance, P Wilmott.
E. The Mathematics of Financial Derivatives: A Student Introduction, P Wilmott, S Howison, J Dewynne

1.1 Introductory -- Interest rates:
A. Modelling Fixed Income Securities and Interest Rate Options, R A Jarrow

1.2 Introductory -- Exotics:
A. Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, H M Kat

1.3 Introductory -- Stochastic Calculus:
A. Elementary Stochastic Calculus With Finance in View, T Mikosch.

1.4 Introductory -- Computational:
A. Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab, E Z Prisman

1.5 Introductory -- Honourable mention:
A. Investment Under Uncertainty, A K Dixit, R S Pindyck
B. The Complete Guide to Option Pricing Formulas, E G Haug
C. Real Options: Managerial Flexibility and Strategy in Resource Allocation, L Trigeorgis


2.0 Halfway technical -- General:

A. Quantitative Modeling of Derivative Securities From Theory To Practice, M Avellaneda, P Laurence
B. Financial Calculus : An Introduction to Derivative Pricing, M Baxter, A Rennie
C. Arbitrage Theory in Continuous Time, T Bjork
D. Theory of Financial Decision Making, J E Ingersoll
E. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, R Kiesel, N H Bingham F. Mathematical Models of Financial Derivatives, Y K Kwok
G. Continuous-Time Finance, R C Merton H. Paul Wilmott on Quantitative Finance, 2 Volume Set, P Wilmott.

2.1. Halfway technical -- Stochastic Calculus:
A. Introduction to Stochastic Calculus with Applications, F C Klebaner

2.2. Halfway technical -- Computational:
A. Implementing Derivatives Models, L Clewlow, Chr Strickland
B. Pricing Financial Instruments: The Finite Difference Method, D Tavella, C Randall

2.3. Halfway technical -- Honourable mention:
A. The Treasury Bond Basis, G D Burghardt, T M Belton, M Lane, J Papa.
B. Dynamic Hedging, N Taleb.


3.0 Technical -- General:

A. Options, Futures and Exotic Derivatives, E Briys, M Bellalah, H M Mai, F de Varenne
B. Modelling And Hedging Equity Derivatives, O Brockhaus, A Ferraris, Ch Gallus, D Long, R Martin, M Overhaus
C. Dynamic Asset Pricing Theory, D Duffie
D. Derivatives in Financial Markets With Stochastic Volatility, J-P Fouque, G Papanicolaou, K R Sircar
E. Mathematics of Financial Markets, P E Kopp, R J Elliott
F. Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics, R Korn, E Korn
G. Introduction to Stochastic Calculus Applied to Finance, D Lamberton, B Lapeyre, N Rabeau
H. Martingale Methods in Financial Modelling, M Musiela, M Rutkowski
I. Pricing and Hedging of Derivative Securities, L T Nielsen
J. Essentials of Stochastic Finance: Facts, Models, Theory, A N Shiryaev

3.1 Technical -- Interest rates:
A. Interest Rate Models Theory and Practice: Theory and Practice, D Brigo, Fabio Mercurio
B. Efficient Methods for Valuing Interest Rate Derivatives, A Pelsser
C. Interest-Rate Option Models: Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, R Rebonato
D. Interest Rate Modelling: Financial Engineering, N Webber, J James

3.2 Technical -- Stochastic Calculus:
A. Brownian Motion and Stochastic Calculus, I Karatzas, S E Shreve
B. Stochastic Differential Equations, B Oksendal
C. Stochastic Calculus and Financial Applications, J M Steele

3.3 Technical -- Honourable mention:
A. Optimal Portfolios, R Korn
B. Option Valuation under Stochastic Volatility, A L Lewis


4.0 Hard core -- General:

A. Security Markets: Stochastic Models, D Duffie
B. Financial Derivatives in Theory and Practice, P J Hunt, J Kennedy
C. Introduction to Option Pricing Theory, R L Karandikar, G Kallianpur
D. Methods of Mathematical Finance, I Karatzas, S E Shreve

4.1 Hard core -- Stochastic Calculus:
A. Continuous Martingales and Brownian Motion, D Revuz, M Yor
B. Diffusions, Markov Processes, and Martingales (two vol), Rogers, Williams


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