BOOKS ON MATHEMATICAL FINANCE

1) M. Ammann, Credit Risk Evaluation. 2) E. Barucci, Financial Markets Theory. 3) M. Baxter & A. Rennie, Financial Calculus. 4) F. E. Benth, Option Theory with Stochastic Analysis. 5) T. R. Bielecki & M. Rutowski, Credit Risk Modeling, Valuation & Hedging. 6) N. H. Bingham & R. Kiesel, Risk-Neutral Valuation Pricing & Hedging of Financial Derivatives. 7) S. I. Boyarchenko & S. Z. Levendorskii, Non-Gaussian Merton-Black-Scholes Theory. 8) D. Brigo & F. Mercurio, Interest Rate Models Theory and Practice. 9) A. J. G. Cairns, Interest Rate Models. 10) U. Cherubini, E. Luciano & W. Vecchiato, Copula Methods in Finance. 11) J. H. Cochrane, Asset Pricing. 12) R. Cont & P. Tankov, Financial Modelling with Jump Processes. 13) J. C. Cox and M. Rubinstein, Options Markets. 14) R-A. Dana & M. Jeanblanc, Financial Markets in Continuous Time. 15) M. H. A. Davis, D. Duffie, W. H. Fleming and S. E. Shreve, Mathematical Finance. 16) F. Delbaen and W. Schachermeyer, Mathematics of Arbitrage. 17) M. A. H. Dempster and S. R. Pliska, Mathematics of Derivative Securities. 18) M. U. Dothan, Prices in Financial Markets. 19) D. Duffie, Security Markets. 20) D. Duffie, Futures Markets. 21) D. Duffie, Dynamic Asset Pricing Theory.

22) D. Duffie and K. J. Singleton, Credit Risk. 23) R. J. Elliott and P. Ekkehard Kopp, Mathematics of Financial Markets. 24) E. R. Fernholz, Stochastic Portfolio Theory. 25) D. Filipovic, Consistency Problems for Heath-Jarrow-Morton Interest Rate Models. 26) H. Follmer & A. Schied, Stochastic Finance. 27) J-P. Fouque, G. Papanicolau & K. R. Sircar, Derivatives in Financial Markets with Stochastic Volatility. 28) J. Franke, W. Hardle & C. M. Hafner, Statistics of Financial Markets. 29) P. Glasserman, Monte Carlo Methods in Financial Engineering. 30) D. Heath & G. Swindle, Introduction to Mathematical Finance. 31) C-f. Huang & R. H. Litzenberger, Foundations of Financial Economics. 32) L. Hughston, The New Interest Rate Models. 33) J. C. Hull, Options, Futures & Other Derivatives. 34) P. J. Hunt & J. E. Kennedy, Financial Derivatives in Theory & Practice. 35) J. E. Ingersoll, Theory of Financial Decision Making. 36) J. James & N. Webber, Interest Rate Modelling. 37) R. Jarrow, Finance Theory. 38) G. Kallianpur & R. L. Karandikar, Introduction to Option Pricing Theory. 39) I. Karatzas, Lectures on the Mathematics of Finance. 40) I. Karatzas & S. E. Shreve, Methods of Mathematical Finance. 41) F. C. Klebaner, Introduction to Stochastic Calculus with Applications.