 | Options, Futures, and Other Derivatives (5th Edition) by John C. Hull
Buy used from: $31.85 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.
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 | The Econometrics of Financial Markets by John Y. Campbell
Buy new: $74.06 / Used from: $50.00 Great coverage of methods to estimate diffusions.
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 | Investment under Uncertainty by Avinash K. Dixit
Buy new: $71.64 / Used from: $49.99 The Bible for real options.
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 | Stochastic Optimization in Continuous Time by Fwu-Ranq Chang
Buy new: $58.72 / Used from: $59.02 Cookbook approach to continuous-time models. Applications are not exclusive to finance.
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 | Theory of Financial Decision Making by Jonathan E. Ingersoll
Buy new: $63.95 / Used from: $42.20 Not as hard as Duffie but not an easy read. Rigorous treatment of finance.
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 | Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie
Buy new: $70.53 / Used from: $48.76 Not very useful to develop intuition, though at a lower level than pure mathematical finance books.
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 | Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas
Buy new: $58.45 / Used from: $30.00 The Bible of stochastic calculus.
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 | Methods of Mathematical Finance by Ioannis Karatzas
Buy new: $72.85 / Used from: $19.76 Unified-field approach to mathematical finance. Not useful to learn finance.
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 | Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53) by Paul Glasserman
Buy new: $40.27 / Used from: $39.19 Useful to apply continuous-time finance methods.
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 | Continuous-Time Finance (Macroeconomics and Finance) by Robert C. Merton
Buy new: $55.84 / Used from: $38.95 A classic of the literature. It has sentimental value.
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 | My Life as a Quant: Reflections on Physics and Finance by Emanuel Derman
Buy new: $22.17 / Used from: $1.20 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.
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 | A First Course in Stochastic Processes, Second Edition by Samuel Karlin
Buy new: $74.60 / Used from: $39.00 Great to learn stochastic processes.
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 | A Second Course in Stochastic Processes by Samuel Karlin
Buy new: $111.15 / Used from: $45.95 |
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