Mathematical Finance Books
This list was selected by Professor Scot Adams, Director of MFM (Master of Financial Mathematics). If you don't see the title you want, check MNCAT.
General Books | Books On Searching For Quant Jobs | Math Finance Textbooks | Actuarial Exam Reference | Miscellaneous Related Textbooks | Computer Textbooks
General books
- Capital Ideas: the improbable origins of modern Wall Street by Peter L. Bernstein
- New York: Free Press; Toronto: Maxwell Macmillan Canada; New York: Maxwell Macmillan International, 1992. Wilson Library HG173 .B47 1992 Link to MnCat Record
- Against the Gods: the remarkable story of risk by Peter L. Bernstein
- New York: John Wiley & Sons, 1996. Mathematics Library HD61 .B4666 Link to MnCat Record
- My Life as a Quant by Emanuel Derman
- Hoboken, N.J.: Wiley, 2004. Mathematics Library HG4621 .D47 Link to MnCat Record
- Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It. by Nicholas Dunbar
- Chichester: Wiley, 2000. Wilson Library HG4930 .D86 Link to MnCat Record
- When Genius Failed: The Rise and fall of Long-Term Capital Management by Roger Lowenstein
- New York: Random House, 2000. Wilson Library HG4930 .L69 Link to MnCat Record
- The Smartest Guys in the Room: The Amazing Rise and Scandalous Fall of Enron by Bethany McLean and Peter Elkind
- New York: Portfolio, 2003. Wilson Library HD9502.U54 E5763 Link to MnCat Record
- A Random Walk Down Wall Street by Burton Malkiel
- New York: Norton, 1999. Access for University of Minnesota students, staff, and faculty; or Updated and Revised ed. New York: W.W. Norton, 2003. Wilson Library HG4521 .M284 2003 Link to MnCat Record
- Fischer Black and the Revolutionary Idea of Finance by Perry Mehrling
- Hoboken, N.J.: John Wiley & Sons, 2005. Mathematics Library HG172.F565 M44 2005 Link to MnCat Record
- Fooled by Randomness: the hidden role of chance in the markets and in life by Nassim Taleb
- New York: Texere, 2001. Wilson Library HG4521 .T35x 2001 Link to MnCat Record
BOOKS ON SEARCHING FOR QUANT JOBS
- Heard on the Street: quantitative questions from Wall Street job interviews by Timothy Falcon Crack
- Rev. 10th ed. 2007.
- Guide to Getting a Quant Job by Dominic Connor and Paul Wilmott.
- Paul & Dominic Limited, 2006. [Open access]
Math Finance Textbooks
Overview | Risk Management | Mathematics of Finance | Markets and Institutions | Fixed Income Modeling | Financial Theory | Numerical Methods | Credit Modeling | InsuranceOverview
- Options, Futures, and Other Derivatives by John C. Hull
- 6th ed. Upper Saddle River, N.J.: Pearson/Prentice Hall, 2006. Mathematics Library Reserve HG6024.A3 H85 2006 Two Hour Loan Link to MnCat Record
- Financial Engineering and Computation: Principles, Mathematics, and Algorithms by Yuh-Dauh Lyuu
- Cambridge, UK; New York, NY: Cambridge University Press, 2002. Mathematics Library HG176.7 .L97 Link to MnCat Record
- A Primer for the Mathematics of Financial Engineering by Dan Stefanica
- Financial Engineering Press, 2008.
Risk Management
- Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk by Steve L. Allen
- Hoboken, N.J.: J. Wiley & Sons, 2003. Mathematics Library HD61 .A43 2003 Link to MnCat Record
- Simulation Techniques in Financial Risk Management by Ngai Hang Chan & Hoi-Ying Wong
- Hoboken, N.J.: Wiley-Interscience, 2006. Mathematics Library HG173 .C47 Link to MnCat Record
- Risk Analysis in Finance and Insurance by Alexander Melnikov
- Boca Raton, Fla.: Chapman & Hall/CRC, 2004. [University of Minnesota Twin Cities access]
- Risk and Asset Allocation by Attilio Meucci
- Berlin; New York: Springer, 2005. Mathematics Library HG4529.5 .M48 2005 Link to MnCat Record
Mathematics of Finance
- Financial Calculus: An introduction to derivative pricing by Martin Baxter and Andrew Rennie
- Cambridge; New York, NY: Cambridge University Press, 1998. Mathematics Library Reserve HG6024.A3 B39 1998 Two Hour Loan Link to MnCat Record
- Arbitrage Theory in Continuous Time by Tomas Bjork
- 2nd ed. Oxford; New York: Oxford University Press, 2004. Wilson Library HG6024.A3 B567 2004 Link to MnCat Record
- Mathematics for Finance: An Introduction to Financial Engineering by Marek Capinski and Tomasz Zastawniak.
- London; New York: Springer, 2003. Mathematics Library HG106 .C36 2003 Link to MnCat Record
- Stochastic Finance by Hans Foellmer and Alexander Schied
- New York: Walter de Gruyter, 2002. Mathematics Library HG176.5 .F65 2002 Link to MnCat Record
- Financial Modelling with Jump Processes by R. Cont and P. Tankov
- Boca Raton, Fla.: Chapman & Hall/CRC, 2004. [University of Minnesota Twin Cities access]
- Black-Scholes and Beyond: Option Pricing Models by Neil A. Chriss
- Chicago: McGraw-Hill, 1997. Wilson Library HG6024.A3 C495 1997 Link to MnCat Record
- Martingale Methods in Financial Modelling by Musiela and Rutkowski
- Berlin; New York: Springer, 1997. Wilson Library HG6024.A3 M87 1997 Link to MnCat Record
- Stochastic Differential Equations: an introduction with applications by Bernt Oksendal
- 6th ed. Berlin; New York: Springer, 2003. Mathematics Library QA274.23 .O47 2003 Link to MnCat Record
- Introduction to Mathematical Finance: Discrete Time Models by Stanley R. Pliska.
- Malden, MA: Blackwell Publishers, 1997. Wilson Library HG173 .P55 1997 Link to MnCat Record
- Essentials of Stochastic Finance: Facts, Models, Theory by Albert N. Shiryaev
- Singapore; River Edge, N.J.: World Scientific, 1999. Wilson Library HG4515.3 .S54 Link to MnCat Record
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven E Shreve
- New York: Springer, 2005. Mathematics Library HG106 .S57 2004 Link to MnCat Record
- Stochastic Calculus for Finance II: Continuous-Time Models by Steven E Shreve
- New York: Springer, 2005. Mathematics Library HG106 .S57 2005 Link to MnCat Record
- The Mathematics of Financial Derivatives by Wilmott, Howison and Dewynne
- Cambridge, U.K.; New York: Cambridge University Press, 1996. Mathematics Library HG6024.A3 W554 1996 Link to MnCat Record
Markets and Institutions
- Eurodollar Futures and Options Handbook by Galen Burghardt
- New York: McGraw-Hill, 2003. Mathematics Library HG3897 .B87 Link to MnCat Record
- The Treasury Bond Basis: An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs by Galen Burghardt et al.
- Chicago: Probus Pub. Co., 1989. Wilson Library HG6041 .B78 1989 Link to MnCat Record
- The Volatility Surface: A Practitioner's Guide by Jim Gatheral
- Hoboken, N.J.: John Wiley & Sons, 2006. Mathematics Library HG6024.A3 G38 2006 Link to MnCat Record
- Managing Investment Portfolios by Maginn & Tuttle
- Wilson Library HG4529 .M36 Link to MnCat Record
- Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies by Martellini, Priaulet, Priaulet
- Chichester, England; Hoboken, N.J.: Wiley, 2003. Wilson Library HG4650 .M367 2003 Link to MnCat Record
- Investment Analysis and Portfolio Management by Reilly & Brown
- 4th ed. Fort Worth, TX: Dryden Press, 1994. Wilson Library HG4521 .R396 1994 Link to MnCat Record
Fixed Income Modeling
- Interest Rate Models: theory and practice : with smile, inflation, and credit by Damiano Brigo, Fabio Mercurio
- 2nd ed. Berlin; New York: Springer, 2006. Wilson Library HB539 .B785 Link to MnCat Record
- Interest Rate Models: An Introduction by Andrew Cairns
- Princeton, N.J.: Princeton University Press, 2004. Mathematics Library Reserve HG1621 .C25 2004 Link to MnCat Record
- Modeling Fixed-Income Securities and Interest Rate Options by Robert Jarrow
- 2nd ed. Stanford, Calif.: Stanford University Press, 2002. Mathematics Library HG4650 .J37 2002 Link to MnCat Record See also Modeling Fixed Income and Interest Rate Options--Lecture Notes.
Financial Theory
- Asset Pricing by John H Cochrane
- Rev. ed. Princeton, NJ: Princeton University Press, 2005. Wilson Library HG4636 .C56 2005 Link to MnCat Record
- Microfoundations of Financial Economics: An Introduction to General Equilibrium Asset Pricing by Yvan Lengwiler
Numerical Methods
- Numerical Methods in Finance and Economics: A MATLAB-based Introduction by Paolo Brandimarte
- 2nd ed. Hoboken, N.J.: Wiley Interscience, 2006. Mathematics Library HG176.5 .B73 2006 Link to MnCat Record
- Monte Carlo Methods in Financial Engineering by Paul Glasserman
- New York: Springer, 2004. Wilson Library HG176.7 .G57 2004 Link to MnCat Record
- Pricing Financial Instruments: the finite difference method by Domingo Tavella, Curt Randall
- New York: John Wiley & Sons, 2000. Wilson Library HG6024.A3 T38 Link to MnCat Record
Credit Modeling
- Credit Risk: Pricing, Measurement, and Management by Duffie and Singleton
- Princeton, N.J.: Princeton University Press, 2003. Wilson Library HG3751 .D84 2003 Link to MnCat Record
- Credit Risk Modeling: Theory and Applications by David Lando
- Princeton, NJ: Princeton University Press, 2004. Mathematics Library HG3751 .L36 Link to MnCat Record
- Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp Schonbucher
- Chichester; Hoboken, NJ: Wiley, 2003. Wilson Library HG6024.A3 S367 2003Link to MnCat Record
Insurance
- Modern Actuarial Risk Theory by Rob Kaas, Marc Goovaerts, Jan Dhaene and Michel Denuit
- Boston: Kluwer Academic, 2001. Mathematics Library HG8054.5 .M63 Link to MnCat Record
Actuarial Exam Reference
- ACTEX Study Manual: Introduction to Financial Economics by Matthew J. Hassett, Michael I. Ratliff, Amy Steeby.
- Winsted, Conn.: ACTEX Publications, 2007. Mathematics Library Reserve HG8781 . H37 Link to MnCat Record
- ACTEX Study Manual. SOA Exam MFE, Financial Economics by Matthew J. Hassett, Michael Ratliff, Amy C. Steeby.
- Winsted, Conn.: ACTEX Publications, 2007. Mathematics Library Reserve HG8781 .H375 Link to MnCat Record
Miscellaneous related textbooks
- Introduction to Linear Optimization by Dimitris Bertsimas & John Tsitsiklis
- Belmont, Mass.: Athena Scientific, 1997. Mathematics Library T57.74 .B465 1997 Link to MnCat Record
- Probability and Measure by Patrick Billingsley
- 3rd ed. New York: J. Wiley & Sons, 1995. Mathematics Library Reserve QA273 .B575 1995 Two Hour Loan Link to MnCat Record
- Mathematical Methods in the Physical Sciences by Mary L. Boas
- 2nd ed. New York: Wiley, 1983. Walter Sci/Eng Library Books (Level F) QA37.2 .B59 1983 Link to MnCat Record
- Probability through Problems by Marek Capinski and Tomasz Zastawniak.
- Problem books in mathematics. New York: Springer, 2001. Mathematics Library QA273.25 .C36 2001 Link to MnCat Record
- Linear Programming by Vasek Chvatal
- New York: W.H. Freeman, 1983. Mathematics Library T57.74 .C54 1983 Link to MnCat Record
- Probability and Statistics by Morris DeGroot & Mark Schervish
- 3rd ed. Boston: Addison-Wesley, 2002. Mathematics Library Reserve QA273 .D35 2002 Two Hour Loan Link to MnCat Record
- A Modern Approach to Probability Theory by Bert Fristedt and Lawrence Gray
- Boston: Birkhäuser, 1997. Mathematics Library Reserve QA273 .F92 Link to MnCat Record
- Elementary Statistics by Mario F Triola
- 10th ed. Boston: Pearson/Addison-Wesley, 2006. Mathematics Library QA276.12 .T76 2006 Link to MnCat Record
Computer textbooks
- Introduction to Functional Programming by Antony J.T. Davie.
- Cambridge; New York: Cambridge University Press, 1992. Walter Library (Level F) QA76.62 .D38x 1992 Link to MnCat Record
- Microsoft Visual Basic 2005 Step by Step by Michael Halvorson
- [University of Minnesota Twin Cities access ]
- Microsoft Visual C# 2005 Step by Step by John Sharp
- [University of Minnesota Twin Cities access]