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