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Reading List For An Introduction To Financial Engineering

This reading list provides resources for an introduction to financial engineering. It includes books on mathematical finance, probability and stochastic processes, computer science and programming, numerical analysis and PDEs. The mathematical finance section focuses on derivative pricing and stochastic calculus. The probability section covers elementary probability theory and stochastic differential equations. Computer science books cover general programming and the C++ language. Numerical analysis texts address numerical methods and finite difference methods for PDEs. One recommended book offers a physicist's reflections on a career in financial modeling.

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47 views

Reading List For An Introduction To Financial Engineering

This reading list provides resources for an introduction to financial engineering. It includes books on mathematical finance, probability and stochastic processes, computer science and programming, numerical analysis and PDEs. The mathematical finance section focuses on derivative pricing and stochastic calculus. The probability section covers elementary probability theory and stochastic differential equations. Computer science books cover general programming and the C++ language. Numerical analysis texts address numerical methods and finite difference methods for PDEs. One recommended book offers a physicist's reflections on a career in financial modeling.

Uploaded by

Aditya Dave
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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Reading List for an Introduction to Financial Engineering

Mathematical Finance
- Financial Calculus : An Introduction to Derivative Pricing, by Martin Baxter,
Andrew Rennie
- Stochastic Calculus for Finance I : The Binomial Asset Pricing Model, by
Steven E. Shreve
- Stochastic Calculus for Finance II : Continuous-Time Models, by Steven E.
Shreve
- Introduction to Option Pricing Theory, by Gopinath Kallianpur, Rajeeva L.
Karandikar
Probability and Stochastic Processes
- Elementary Probability Theory, by Kai Lai Chung, Farid Aitsahlia
- Probability Essentials, by Jean Jacod, P. Protter
- Stochastic Differential Equations : An Introduction with Applications, by Bernt
Oksendal
Computer Science and Programming
- Structure and Interpretation of Computer Programs,by Harold Abelson, Gerald
Jay Sussman
- Introduction to Algorithms, by Thomas H. Cormen, Charles E. Leiserson,
Ronald L. Rivest, Clifford Stein
- The C++ Programming Language, by Bjarne Stroustrup
- Design Patterns,by Erich Gamma, Richard Helm, Ralph Johnson, John Vlissides
Numerical Analysis and PDE's
- Introduction to Numerical Analysis, by R. Bulirsch, J. Stoer
- Numerical Partial Differential Equations: Finite Difference Methods, by J.W.
Thomas
General Reading
- My Life as a Quant : Reflections on Physics and Finance, by Emanuel Derman

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