September 2010 Archives

Mathematics of Finance Textbooks

  • Financial Calculus: An introduction to derivative pricing by Martin Baxter and Andrew Rennie. Cambridge; New York, NY: Cambridge University Press, 1998. Mathematics Library Reserve HG6024.A3 B39 1998 Two Hour Loan Find it in the library
  • Arbitrage Theory in Continuous Time by Tomas Bjork. 2nd ed. Oxford; New York: Oxford University Press, 2004. Wilson Library HG6024.A3 B567 2004 Find it in the library
  • Mathematics for Finance: An Introduction to Financial Engineering by Marek Capinski and Tomasz Zastawniak. London; New York: Springer, 2003. Mathematics Library HG106 .C36 2003 Find it in the library
  • Stochastic Finance by Hans Foellmer and Alexander Schied. New York: Walter de Gruyter, 2002. Mathematics Library HG176.5 .F65 2002 Find it in the library
  • Financial Modelling with Jump Processes by R. Cont and P. Tankov. Boca Raton, Fla.: Chapman & Hall/CRC, 2004. [University of Minnesota Twin Cities access Read it online]
  • Black-Scholes and Beyond: Option Pricing Models by Neil A. Chriss. Chicago: McGraw-Hill, 1997. Wilson Library HG6024.A3 C495 1997 Find it in the library
  • Martingale Methods in Financial Modelling by Musiela and Rutkowski. Berlin; New York: Springer, 1997. Wilson Library HG6024.A3 M87 1997 Find it in the library
  • Stochastic Differential Equations: an introduction with applications by Bernt Oksendal. 6th ed. Berlin; New York: Springer, 2003. Mathematics Library QA274.23 .O47 2003 Find it in the library
  • Introduction to Mathematical Finance: Discrete Time Models by Stanley R. Pliska. Malden, MA: Blackwell Publishers, 1997. Wilson Library HG173 .P55 1997 Find it in the library
  • Continuous Martingales and Brownian Motion, 3rd ed. by Daniel Revuz and Marc Yor. Berlin; New York: Springer, 1999. Mathematics Library QA274.5 .R48 Find it in the library
  • Essentials of Stochastic Finance: Facts, Models, Theory by Albert N. Shiryaev. Singapore; River Edge, N.J.: World Scientific, 1999. Wilson Library HG4515.3 .S54 Find it in the library
  • Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven E Shreve. New York: Springer, 2005. Mathematics Library HG106 .S57 2004 Find it in the library
  • Stochastic Calculus for Finance II: Continuous-Time Models by Steven E Shreve. New York: Springer, 2005. Mathematics Library HG106 .S57 2005 Find it in the library
  • The Mathematics of Financial Derivatives by Wilmott, Howison and Dewynne. Cambridge, U.K.; New York: Cambridge University Press, 1996. Mathematics Library HG6024.A3 W554 1996 Find it in the library

Risk Management Textbooks

  • Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk by Steve L. Allen. Hoboken, N.J.: J. Wiley & Sons, 2003. Mathematics Library HD61 .A43 2003 Find it in the library
  • Simulation Techniques in Financial Risk Management by Ngai Hang Chan & Hoi-Ying Wong. Hoboken, N.J.: Wiley-Interscience, 2006. Mathematics Library HG173 .C47 Find it in the library
  • Quantitative Risk Management: Concepts, Techniques, Tools by McNeil, Frey, and Embrechts. Princeton, N.J.: Princeton University Press, 2005. Wilson Library HD61 .M395 Find it in the library
  • Risk Analysis in Finance and Insurance by Alexander Melnikov. Boca Raton, Fla.: Chapman & Hall/CRC, 2004. [University of Minnesota Twin Cities access Read it online]
  • Risk and Asset Allocation by Attilio Meucci. Berlin; New York: Springer, 2005. Mathematics Library HG4529.5 .M48 2005 Find it in the library

Math Finance Overview Textbooks

  • Options, Futures, and Other Derivatives by John C. Hull. 7th ed. Upper Saddle River, N.J.: Pearson/Prentice Hall, 2009. Mathematics Library Reserve HG6024.A3 H85 2006 Two Hour Loan Find it in the library
  • Financial Engineering and Computation: Principles, Mathematics, and Algorithms by Yuh-Dauh Lyuu. Cambridge, UK; New York, NY: Cambridge University Press, 2002. Mathematics Library HG176.7 .L97 Find it in the library
  • A Primer for the Mathematics of Financial Engineering by Dan Stefanica. Financial Engineering Press, 2008. Find it in the library

Searching for Quant Jobs

  • Heard on the Street: quantitative questions from Wall Street job interviews by Timothy Falcon Crack. 12th ed. 2009.
  • Guide to Getting a Quant Job by Dominic Connor and Paul Wilmott. Paul & Dominic Limited, 2006. Open access Read it online

General Books

  • Predictably Irrational: the hidden forces that shape our decisions by Dan Ariely. New York: Harper, 2008. Wilson Library HB74.P8 A75 2008 Find it in the library
  • Capital Ideas: the improbable origins of modern Wall Street by Peter L. Bernstein. New York: Free Press; Toronto: Maxwell Macmillan Canada; New York: Maxwell Macmillan International, 1992. Wilson Library HG173 .B47 1992 Find it in the library
  • Against the Gods: the remarkable story of risk by Peter L. Bernstein. New York: John Wiley & Sons, 1996. Mathematics Library HD61 .B4666 Find it in the library
  • My Life as a Quant by Emanuel Derman. Hoboken, N.J.: Wiley, 2004. University of Minnesota Twin Cities access Read it online or Find it in the library
  • Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It. by Nicholas Dunbar. Chichester: Wiley, 2000. Find it in the library
  • When Genius Failed: The Rise and fall of Long-Term Capital Management by Roger Lowenstein. New York: Random House, 2000. Wilson Library HG4930 .L69 Find it in the library
  • The Smartest Guys in the Room: The Amazing Rise and Scandalous Fall of Enron by Bethany McLean and Peter Elkind. New York: Portfolio, 2003. Wilson Library HD9502.U54 E5763 Find it in the library
  • A Random Walk Down Wall Street by Burton Malkiel. New York: Norton, 1999. University of Minnesota Twin Cities access Read the 1999 edition online or Find the 2003 edition in the library
  • Fischer Black and the Revolutionary Idea of Finance by Perry Mehrling. Hoboken, N.J.: John Wiley & Sons, 2005. Find it in the library
  • Fooled by Randomness: the hidden role of chance in the markets and in life by Nassim Taleb. New York: Texere, 2001. Find it in the library

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