What Are the Best Resources for Learning Mathematical Finance?

AI Thread Summary
For a rigorous introduction to Mathematical Finance, resources such as the Wilmott forums are recommended for educational references. Key books include "Monte Carlo Methods in Finance" by Paul J. Jaeckel and "Options, Futures, and Other Derivatives" by John C. Hull. A solid understanding of differential equations is essential for grasping these concepts. Additionally, "Macroeconomic Theory" by Thomas J. Sargent is suggested for a comprehensive overview of macroeconomic models. These resources will provide a strong foundation in stochastic differential equations and related topics.
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
 
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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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