Books Related to Math 294

Math 294 (Winter 2006)

• Probability
  1. Billingsley, P.: Probability and Measure (3rd ed) [QA273 .B575 1995]
  2. Kallenberg, O.: Foundations of Modern Probability (2nd ed) [QA273.K285 2001]
• Stochastic Calculus
  1. Chung, K.L. & R.J. Williams: Introduction to stochastic integration (2nd ed) [QA274.22 .C48 1990]
  2. Oksendal, B. K.: Stochastic Differential Equations : an Introduction with Applications (5th ed) [QA274.23 .O47 1998]
  3. Revuz, D & Yor, M.: Continuous Martingales and Brownian Motion (3rd ed) [QA274.5 .R48 1999]
  4. Rogers, L.C.G. & Williams, D.: Diffusions, Markov processes, and Martingales (2 vol) [QA274.7 .W54 2000 1&2]
• Financial Mathematics
  1. Baxter, M. & Rennie, A.: Financial Calculus [HG6024.A3 B39 1996]
  2. Bingham, N.H. & R. Kiesel, R.: Risk-Neutral Valuation [HG4515.2 .B56 1998]
  3. Elliott, R.J. & Kopp. P.E.: Mathematics of Financial Markets [HG4515.3 .E37 1998]
  4. Follmer, H. & Schied, A.: Stochastic Finance: An Introduction in Discrete Time [HG176.5 .F65 2002]
  5. Fouque, J.-P., Papanicolaou, G., & Sircar, K. R.: Derivatives in Financial Markets with Stochastic Volatility [HG6024.A3 F68 2000]
  6. Lamberton, D. & Lapeyre, B.: Introduction to Stochastic Calculus Applied to Finance [HG4515.3 .L3613 1996]
  7. Pliska, S.: Introduction to Mathematical Finance: Discrete Time Models [HG173 .P55 1997]
  8. Shiryaev, A.N.: Essentials of Stochastic Finance [HG4515.3 .S54 1999]
  9. Shreve, S.: Stochastic Calculus for Finance (2 volumes) [HG106 .S57 2004 vol.1 and 2]