 | Options, Futures, and Other Derivatives (5th Edition) by John C. Hull
Buy used from: $44.45 Excellent to understand derivatives and, to a large extent, the mathematics behind them. Great perspective of derivatives markets. The chapters on numerical methods are useful.
|
 | The Econometrics of Financial Markets by John Y. Campbell
Buy new: $84.00 / Used from: $63.48 Great coverage of methods to estimate diffusions.
|
 | Investment under Uncertainty by Avinash K. Dixit
Buy new: $76.00 / Used from: $59.94 The Bible for real options.
|
 | Stochastic Optimization in Continuous Time by Fwu-Ranq Chang
Buy new: $52.20 / Used from: $70.07 Cookbook approach to continuous-time models. Applications are not exclusive to finance.
|
 | Theory of Financial Decision Making by Jonathan E. Ingersoll
Buy new: $81.60 / Used from: $68.00 Not as hard as Duffie but not an easy read. Rigorous treatment of finance.
|
 | Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie
Buy new: $80.00 / Used from: $64.99 Not very useful to develop intuition, though at a lower level than pure mathematical finance books.
|
 | Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas
Buy new: $48.31 / Used from: $39.00 The Bible of stochastic calculus.
|
 | Methods of Mathematical Finance by Ioannis Karatzas
Buy new: $63.96 / Used from: $17.00 Unified-field approach to mathematical finance. Not useful to learn finance.
|
 | Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) by Paul Glasserman
Buy new: $55.96 / Used from: $45.00 Useful to apply continuous-time finance methods.
|
 | Continuous-Time Finance (Macroeconomics and Finance) by Robert C. Merton
Buy new: $68.95 / Used from: $30.94 A classic of the literature. It has sentimental value.
|
 | My Life as a Quant: Reflections on Physics and Finance by Emanuel Derman
Buy new: $19.14 / Used from: $8.88 If you started as an academic and moved to the financial sector, this is a must read. I read it shortly after making the change and it helped me a lot.
|
 | A First Course in Stochastic Processes, Second Edition by Samuel Karlin
Buy new: $91.20 / Used from: $65.00 Great to learn stochastic processes.
|
 | A Second Course in Stochastic Processes by Samuel Karlin
Buy new: $86.40 / Used from: $70.30 |
Listmania!
