BOOKS REQUIRED FOR FALL 2010

[Joy Pathak]

I am going to put all the books we require in this thread right here. I will update as I get back information on the rest of the books.

MTH 9814 - A Quantitative Introduction to Pricing Financial Instruments​

Required:​

• Options, Futures, and Other Derivatives (7th ed) John C. Hull

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MTH 9815: Object Oriented Programming for Financial Applications​

Required:​

• C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) Second Edition

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MTH 9821 - Numerical Methods in Finance​

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Required:​

• Trefethen and Bau - Numerical Linear Algebra
• Wilmott, Howison, Dewinne - The Math of Financial Derivatives

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Recommended:​

• Applied Numerical Linear Algebra by James W. Demmel
• Implementing Derivative Models by Les Clewlow, Chris Strickland
• Introduction to Linear Algebra by Gilbert Strang

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MTH 9831 - Probability and Stochastic Processes in Finance​

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Recommended:​

• Probability Essentials - Jean Jacod, Philip Protter
• Probability: Theory and Examples
• Measure, Integral and Probability, Marek Capinski, Peter E. Kopp: Books

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MTH 9865 - Commodities and Futures Trading​

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Required:​

• Options, Futures, and Other Derivatives (7th ed) John C. Hull

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MTH 9875 - Volatility Surface​

Required:​

• The Volatility Surface: A Practitioners Guide by Jim Gatheral, Nassim Nicholas Taleb

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Recommended:​

• The Math of Financial Derivatives
• Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management by Jean-Philippe Bouchaud, Marc Potters
• Statistical Analysis of Financial Data in S-PLUS Rene A. Carmona
• Introductory Statistics with R by Peter Dalgaard

 

[jonjaffe]

Thanks Joy. Very helpful!!!

 

[Yassine]

MTH 9831
"Probability: Theory and Examples" Rick Durrett: http://www.math.duke.edu/~rtd/PTE/PTE4_Jan2010.pdf

 

[Joy Pathak]

The post has been updated to include the recommended books for Numerical Methods in Finance

 

[Joy Pathak]

List updated for Pricing class.

 

[dstefan]

Could you add the other recommended books for MTH 9875?
Those books will be available in the QuantLab on Tuesday. No books from the QuantLab can be checked out!

 

[Joy Pathak]

Could you add the other recommended books for MTH 9875?
Those books will be available in the QuantLab on Tuesday. No books from the QuantLab can be checked out!

Post has been edited.