MATHEMATICS OF FINANCE
Stochastic models are being increasingly used in modeling financial
markets.
Math 294 is an introduction to the mathematics of such financial models
intended for
graduate students in mathematics, economics, engineering and related
fields.
For the current course homepage for Math 294,
click here.
A more elementary introduction (especially suited to undergraduates and
those without knowledge of continuous probability)
is provided by Math 194. For the current homepage for that
course, click here.
REFERENCES:
Background in economics/finance:
Investment Science, David G. Luenberger, Oxford University Press, 1998.
Financial Economics, H. H. Panjer (ed.),
The
Actuarial Foundation, Schaumburg, Illinois, 1998.
Options, Futures and other Derivative Securities, J. Hull, Prentice Hall, 1993.
Mathematics of Finance: Stochastic Approaches
Discrete models
Introduction to Mathematical Finance, S. R. Pliska, Blackwell, 1998.
Stochastic Calculus for Finance I: The Binomial Asset
Pricing Model, S. Shreve, Springer, 2004.
Continuous models
Financial calculus, Martin Baxter and Andrew Rennie, Cambridge University Press,
1996.
Introduction to Stochastic Calculus Applied
to Finance, D. Lamberton and B. Lapeyre,
Chapman and Hall, 1996.
Arbitrage Theory in Continuous Time, T. Bjork, Oxford University
Press, 1998.
An Introduction to the Mathematics of Financial Derivatives,
Salih N. Neftci, Academic Press, 1996.
Stochastic Calculus for Finance II -- Continuous Time Models, S.
Shreve, Springer, 2004.
Essentials of Stochastic Finance, A. N. Shiryaev, World Scientific,
1999.
Mathematics of Finance: PDE Approach
The Mathematics of Financial Derivatives: A student introduction, Paul Wilmott, et al., Cambridge
University Press, 1995.
Mathematics of Finance: more advanced stochastic
theory
Martingale methods in financial modelling,
M. Musiela and M. Rutkowski, Springer, 1998.
Methods of mathematical finance, I. Karatzas
and S. Shreve, Springer, 1998.
LINKS TO RELATED WEB SITES (under construction):
Please direct any questions to
Professor Ruth J. Williams, email:
williams@math.ucsd.edu