What Are the Best Resources for Learning Mathematical Finance?

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SUMMARY

The discussion centers on resources for learning Mathematical Finance, specifically focusing on stochastic differential equations. Key recommendations include the Jaeckel book "Monte Carlo Methods in Finance" and Hull & White's work on options. Participants emphasize the importance of a solid understanding of differential equations to grasp the material effectively. The Wilmott forums are also suggested as a valuable resource for educational references.

PREREQUISITES
  • Stochastic processes knowledge
  • Standard analysis proficiency
  • Understanding of differential equations
  • Familiarity with financial modeling concepts
NEXT STEPS
  • Explore the Wilmott forums for additional educational resources
  • Study "Monte Carlo Methods in Finance" by Paul Jaeckel
  • Read "Options, Futures, and Other Derivatives" by John C. Hull
  • Investigate stochastic differential equations in detail
USEFUL FOR

Students and professionals in finance, quantitative analysts, and anyone seeking a rigorous understanding of Mathematical Finance and stochastic processes.

gangsta316
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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.
 
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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
 
Last edited by a moderator:
I would recommend the Jaeckel book "Monte Carlo methods in finance" as well as the Hull & White (now maybe just Hull) on options.
 
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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