Need some help with Mathematical Finance

[gangsta316]

Can anybody provide some resources (books, websites etc. - preferably websites or course notes) for a (somewhat rigorous) introduction to Mathematical Finance? Basically, I want to have the background to understand stuff like this

http://www3.stat.sinica.edu.tw/library/c_tec_rep/c-2002-10.pdf

I have studied stochastic processes and standard analysis. I have resources for studying Brownian motion but the main thing I need to learn about is the stochastic differential equations, in a somewhat rigorous manner. Many thanks for any help.

 

[chiro]

Hey gangsta316.

You should probably check out the Wilmott forums for educational references and suggestions.

http://www.wilmott.com/index.cfm?NoCookies=Yes&forumid=1

 

[DavidHume]

I would recommend the Jaeckel book "Monte Carlo methods in finance" as well as the Hull & White (now maybe just Hull) on options.

 

[LolWolf]

I personally recommend, for a very thorough introduction into multiple models of Macroeconomics:
Macroeconomic Theory: Economic Theory, Econometrics, and Mathematical Economics by Thomas J. Sargent.

Just have a very good working knowledge of your differential equations, in order to fully appreciate the book.

 

[CellCoree]

Sure, I would be happy to provide some resources for you to learn more about Mathematical Finance. First, I would recommend taking a look at the following websites:

1. The QuantLib Library (https://www.quantlib.org/): This is a free, open-source library for quantitative finance that includes a wide range of mathematical models, pricing engines, and tools for financial instrument valuation.

2. QuantStart (https://www.quantstart.com/): This website offers a comprehensive introduction to mathematical finance, including topics such as stochastic calculus, option pricing, and risk management.

3. Coursera (https://www.coursera.org/): This online learning platform offers several courses on mathematical finance, including "Introduction to Mathematical Finance" and "Stochastic Processes and Applications in Mathematical Finance."

In addition to these websites, here are some books that may be helpful for your studies:

1. "An Introduction to Mathematical Finance" by Sheldon M. Ross: This book provides a rigorous introduction to the mathematical concepts and techniques used in finance, including stochastic calculus and option pricing.

2. "Stochastic Calculus for Finance I: The Binomial Asset Pricing Model" by Steven E. Shreve: This book is a classic in the field of mathematical finance and provides a thorough treatment of stochastic calculus and its applications in finance.

3. "Options, Futures, and Other Derivatives" by John C. Hull: This book is widely used in academic and professional settings as a comprehensive guide to derivatives, including mathematical models and pricing techniques.

I hope these resources will be helpful in your studies of mathematical finance. Best of luck!