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Mathematical Finance

The following sources are recommended by a professor whose research specialty is financial mathematics.


Six Superlative Sources

· Black, F., and Scholes, M. (1973) The pricing of options and corporate liabilities. J. Polit. Economy 81, 637-59.

· Merton, R.C. (1973) Theory of rational option pricing. Bell J. Econ. Manag. Sci. 4, 141-83.

· Karatzas, I., and Shreve, S.E. (1998) Methods of Mathematical Finance. Springer Verlag.

· Musiela, M., and Rutkowski, M. (1998) Martingale Methods in Financial Modelling. Springer Verlag.

· Pliska, S.R. (1997) Introduction to Mathematical Finance: Discrete Time Models. Blackwell Publishers.

· Finance and Stochastics journal.

Other Excellent Sources

· Hull, J.C. (2002) Options, Futures, and Other Derivatives. Prentice Hall.

· Duffie, D. (1992) Dynamic Asset Pricing. Princeton University Press.

· Delbaen, F., and Schachermayer, W. (1994) A general version of the fundamental theorem of asset pricing. Math. Ann. 300, 463-520.

· Harrison, J.M., and Kreps, D.M. (1979) Martingales and arbitrage in multiperiod security markets. J. Econ. Theory 20, 381-408.

· Harrison, J.M., and Pliska, S.R. (1981) Martingales and stochastic integrals in the theory of continuous trading. Stochastic Process. App. 11, 215-60.

· Davis, M.H.A., and Norman, A. (1990) Portfolio selection with transaction costs. Math. Operations Research 15, 676-713.

· Follmer, H., and Kramkov, D. (1997) Optional decomposition under constraints. Prob. Theory and Related Fields 109, 1-25.

· Merton, R.C. (1971) Optimum consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3, 373-413.

· Elliott, J.R., and Kopp, P.E. (1998) Mathematics of Financial Markets. Springer Verlag.

· Embrechts, P., Klüppelberg, C., and Mikosch, T. (1997) Modelling Extremal Events for Insurance and Finance. Springer Verlag.

· Kwok, Y.-K. (1998) Mathematical Models of Financial Derivatives. Springer Verlag.

· Steele, J.M. (2000) Stochastic Calculus and Financial Applications. Springer Verlage

· Bjork, T. (1999) Arbitrage Theory in Continuous Time, Oxford University Press.

· Avellaneda, M., and Laurence, P. (1999) Quantitative Modeling of Derivative Securities from Theory to Practice. Chapman and Hall.

· Ross, S. (1999) An Introduction to Mathematical Finance: Options and Other Topics. Cambridge University Press.

· Wilmott, P. (1998) Derivatives: The Theory and Practice of Financial Engineering. John Wiley and Sons.

· Chriss, N. (1996) Black-Scholes and Beyond: Option Pricing Models. Irwin Professional Publishing.

· Baxter, M., and Rennie, A. (1996) Financial Calculus. Cambridge University Press.


· Mathematical Finance.

· Journal of Computational Finance.

· Applied Mathematical Finance.

· International Journal of Applied and Theoretical Finance.

· Asia-Pacific Financial Markets.

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