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Need some help with Mathematical Finance

  1. Aug 15, 2012 #1
    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.
     
  2. jcsd
  3. Aug 15, 2012 #2

    chiro

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    Science Advisor

    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 [Broken]
     
    Last edited by a moderator: May 6, 2017
  4. Aug 16, 2012 #3
    I would recommend the Jaeckel book "Monte Carlo methods in finance" as well as the Hull & White (now maybe just Hull) on options.
     
  5. Aug 16, 2012 #4
    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.
     
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