 | Options, Futures, and Other Derivatives (5th Edition) by John C. Hull
Buy used from: $31.99 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: $84.00 / Used from: $48.47 Great coverage of methods to estimate diffusions.
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 | Investment under Uncertainty by Avinash K. Dixit
Buy new: $84.58 / Used from: $42.80 The Bible for real options.
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 | Stochastic Optimization in Continuous Time by Fwu-Ranq Chang
Buy new: $65.00 / Used from: $62.80 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: $85.94 / Used from: $24.99 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: $80.00 / Used from: $53.80 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: $48.31 / Used from: $45.00 The Bible of stochastic calculus.
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 | Methods of Mathematical Finance by Ioannis Karatzas
Buy new: $77.95 / Used from: $17.99 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: $48.36 / Used from: $40.01 Useful to apply continuous-time finance methods.
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 | Continuous-Time Finance (Macroeconomics and Finance) by Robert C. Merton
Buy new: $59.31 / Used from: $45.12 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: $23.07 / Used from: $4.81 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: $87.74 / Used from: $45.95 Great to learn stochastic processes.
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 | A Second Course in Stochastic Processes by Samuel Karlin
Buy new: $91.20 / Used from: $45.00 |
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