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Financial math books - Trumpchamp_000 - 01-01-2022
Wondering if there are any good mathematical finance books or some solid mathematical finance books that any practitioners in here regard as “classics”?
RE: Financial math books - Kevin - 01-01-2022
Dan Stefanica has some really nice books about financial engineering if you are interested in those.
RE: Financial math books - Ninjabro216 - 01-02-2022
Mark Joshi and Karatzas & Shreve are both pretty good as well.
RE: Financial math books - quince00 - 01-02-2022
Stochastic calculus for finance I and II by Steven Shreve is quite popular. The first book is good as it is quite digestible and has many examples. The second book is a but more difficult read compared to the first but is sort of considered a classic.
RE: Financial math books - Trumpchamp_000 - 01-02-2022
(01-02-2022, 12:40 PM)Ninjabro216 Wrote: Mark Joshi and Karatzas & Shreve are both pretty good as well.
What's the prereq?
RE: Financial math books - quince00 - 01-02-2022
For the first one, calculus and calculus based probability are needed. For the second one, it is the same as the first first but also you also need to know analysis like measure theory and sigma algebras.
RE: Financial math books - Trumpchamp_000 - 01-02-2022
(01-02-2022, 12:44 PM)quince00 Wrote: For the first one, calculus and calculus based probability are needed. For the second one, it is the same as the first first but also you also need to know analysis like measure theory and sigma algebras.
Ok, thanks!