Books


  • Richard Flavell, Swaps and Other Derivatives, 2nd Edition, John Wiley & Sons, Inc. (2009), ISBN-13:9780470721919
  • Paul P. Wilmott, Frequently Asked Questions in Quantitative Finance, 2nd Edition, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470748756
  • Wim Schoutens, Jessica Cariboni, Levy Processes in Credit Risk, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470743065
  • Shayne Fletcher, Christopher Gardner, Financial Modelling in Python, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470987841
  • Damir Filipovic, Term-Structure Models, A Graduate Course, Springer Verlag (2009), ISBN-13: 9783540097266
  • Conrad Gardner (Ed.), Qfinance: The Ultimate Resource, Bloomsbury Information Ltd (2009), ISBN-10: 1-84930-000-3, ISBN-13: 9781849300001
  • Privault, Nicolas, An Elementary Introduction to Stochastic Interest Rate Modeling, World Scientific Publishing (2008), ISBN-10: 9812832734, ISBN-13: 9789812832733
  • René Carmona (Ed.), Indifference Pricing: Theory and Applications, Princeton University Press (2008), ISBN-10: 0-691-13883-4, ISBN-13: 9780691138831
  • Damien Lamberton, Bernard Lapeyre, Introduction to Stochastic Calculus Applied to Finance, Second Edition, Series: Financial Mathematics Series Volume: 11, Chapman & Hall/CRC (2007), ISBN-10: 1584886269, ISBN-13: 9781584886266
  • Alan Brace, Engineering BGM, Series: Financial Mathematics Series Volume: 10, Chapman & Hall/CRC (2007), ISBN-10: 1584889683, ISBN-13: 9781584889687
  • René A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Paris-Princeton Lectures on Mathematical Finance 2004 (Lecture Notes in Mathematics No. 1919), Springer (2007), ISBN-10: 3-540-73326-4, ISBN-13: 9783540733263
  • John Miller, David Edelman, John Appleby, Numerical Methods for Finance, Series: Financial Mathematics Series Volume: 8, Chapman & Hall/CRC (2007), ISBN 10: 158488925X, ISBN-13: 9781584889250
  • Jean-Luc Prigent, Portfolio Optimization and Performance Analysis, Series: Financial Mathematics Series Volume: 7, Chapman & Hall/CRC (2007), ISBN 10: 1584885785, ISBN-13: 9781584885788
  • Louis Bachelier, Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance, translated and with an introduction by Mark Davis & Alison Etheridge, with a foreword by Paul A. Samuelson, Princeton University Press (2006), ISBN-10: 0-691-11752-7, ISBN13: 978-0-691-11752-2
  • Yuri Kabanov, Robert Lipster, Jordan Stoyanov (Eds.), From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, Springer Berlin (2006), ISBN-10: 3-540-30782-6, ISBN-13: 9783540307822
  • Christian Bluhm, Ludger Overbeck , Structured Credit Portfolio Analysis, Baskets and CDOs, Series: Financial Mathematics Series Volume: 5 Chapman & Hall/CRC (2006), ISBN-10: 1584886471, ISBN-13: 9781584886471
  • Eckhard Platen, David Heath, A Benchmark Approach to Quantitative Finance, Springer Verlag (2006), ISBN-10: 3-540-26212-1, ISBN-13: 9783540262121
  • Williams, R. J., Introduction to the Mathematics of Finance, American Mathematical Society (2006), ISBN-10: 0-8218-3903-9, ISBN-13: 9780821839034
  • Kerry Back, A Course in Derivative Securities. Introduction to Theory and Computation, Springer (2005), ISBN 3-540-25373-4, ISBN-13: 9783540253730
  • Jerome Detemple, American-Style Derivatives: Valuation and Computation, Series: Financial Mathematics Series Volume: 4, Chapman & Hall/CRC (2005), ISBN-10: 158488567X, ISBN-13: 9781584885672
  • Matthias R. Fengler, Semiparametric Modeling of Implied Volatility, Springer (2005), ISBN-10: 3-540-26234-2, ISBN-13: 9783540262343
  • Attilio Meucci, Risk and Asset Allocation, Springer (2005), ISBN-10: 3-540-22213-8, ISBN-13: 9783540222132
  • Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press (2005), ISBN-10: 0-691-12255-5, ISBN-13: 9780691122557
  • Steven E. Shreve, Stochastic Calculus for Finance I. The Binomial Asset Pricing Model, Springer (2005), ISBN-10: 0-387-24968-0, ISBN-13: 9780387249681
  • Jeff Cash (Ed.), Stochastic analysis with applications to mathematical finance, The Royal Society (2004) (pdf)
  • Jaksa Cvitanic, Fernando Zapatero,
    Introduction to the Economics and Mathematics of Financial Markets, MIT Press Ltd (2004), ISBN-10: 0-262-03320-8, ISBN-13: 9780262033206
  • Mark S. Joshi, The Concepts and Practice of Mathematical Finance,  Cambridge University Press ( 2003), ISBN-10: 0-521-82355-2
  • Wim Schoutens, Lévy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons Ltd. (2003), ISBN-10: 0-470-85156-2
  • Christian Bluhm, Ludger Overbeck, Christoph Wagner, An Introduction to Credit Risk Modeling, Chapman & Hall / CRC (2002), ISBN-10: 1-5848-8326X
  • Jean-Michel Courtault, Youri Kabanov, Louis Bachelier Aux origines de la finance mathématique, Presses Universitaires Franc-Comtoises (2002), ISBN-10: 2-84627-064-3
  • Hélyette Geman, Dillip Madan, Stan Pliska,Ton Vorst (Eds.), Mathematical Finance - Bachelier Congress 2000, Selected Papers from the First World Congress of the Bachelier Finance Society, Held in Paris, June 29-July 1, 2000, Springer (2002), ISBN-10: 3-540-67781-X
  • Masaaki Kijima, Stochastic Processes with Applications to Finance, Chapman & Hall / CRC (2002), ISBN-10: 1-5848-8224-7
  • Glenn Shafer, Vladimir Vovk, Probability and Finance: It’s Only a Game!, John Wiley & Sons, Inc. (2001), ISBN-10: 0-471-40226-5
  • Dominique Guégan, Les chaos en finance : Approche statistique, Ed. Economica, Paris, Collection Statistique Mathématique et Probabilité, ISBN-10: 271784595X, ISBN-13: 9782717845952
  • William T. Ziemba (Ed.), Handbooks in Finance, book series from Elsevier Science / North-Holland