What Are the Best Resources for Learning 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.