List of books to be bought for the school on financial mathematics

By NTZung, on August 17th, 2011

We want to buy some books on financial mathematics and bring them to Vietnam for the thematic school in Doson (24/Oct-01/Nov/2011).After the school, these books will be donated to a library in Hanoi.

I need a list of best books to buy. If you have any suggestion, please let me know by writing a comment to this post. Thank you very much !

Our budget for the books is about 1000E plus epsilon, which should be enough to buy more than 20 books this time. Here is the preliminary list of the books, together with their prices on amazon.fr, to be updated until we actually make the order:

1a) B. Øksendal and A. Sulem: Applied Stochastic Control of Jump Diffusions. Second Edition. Springer 2007, price: 36.80 €

1b) H. Föllmer and A. Schied: Stochastic Finance. Third Edition, De Greuter 2011. Price: 48.78€

1c) B. Øksendal: Stochastic Differential Equations. Sixth Edition, Springer 2003/2010. Price: 31.92€

2a) A. McNeil, R. Frey, P. Embrechts, Quantitative risk management: concepts, techniques, and tools, 2005. price: 70.69 €

2b) M. Denuit, J. Daene, M. Goovaerts, R. Kaas, Actuarial theory for dependent risks: measures, orders, and models, 2005. Price: 75.58€

3a) J. Cvitanic & F. Zapatero, Introduction to the economics and mathematics of financial markets, 2004.price: 46.70€

3b) J. Cvitanic & F. Zapatero, Solutions manual for Introduction to the economics and mathematics of financial markets, 2004. Price:19.34€

3c) K. Back, Asset pricing and portfolio choice theory, 2010. Price: 62.73€

4a) James P. LeSage, R. Kelley Pace, Intoroduction to spatial statistics, CRC Press, 2009. Price: 63.13€

4b) R. Bivand, E. Pebesma, V. Gomez-Rubio, Applied spatial data analysis with R, Springer, 2008. Price: 49.05€

5a) A course in Game Theory by Osborne and Rubinstein the MIT Press
5b) Game Theory. Fudenberg Tirole the MIT Press 1991
5c) A first course on Zero-sum repeated Games. Sorin; SMAI 2002

Notes:

- The books No.1 are for the course on stochastic optimization in finance. Prof. Oksendal will also donate a free copy of the third book to the school.

- The books no. 2 are for the courses on risk management.

- The books no. 3 are for the course on mathematical modeling of financial markets.

- The books no. 4 are for the course on spatial statistics & econometrics.

- The books no. 5 are for the course on game theory.

Duy Nguyen

August 18, 2011 at 1:40 am

Dear Prof. Zung,

I would like to recommend so books that I think students in math finance should know.
1. Dynamic asset pricing theory by D. Duffie
2. Options, futures and other derivatives by J. Hull
3. Arbitrage theory of continuous time by Bjork
4. Investments by Zvi Bodie et all

For some unknown reasons when I tried to put the amazon links in this box, your website did not let me do it. I also want to give some comments all those books but I think the feedback given on Amazon does better than mine, hope you would enjoy them !

best

admin

August 18, 2011 at 8:08 am

Thank you for the suggestions

September 8, 2011 at 5:01 pm

(from Paul Embrechts)

Dear Zung,
May I suggest the following books:
1. P. Embrechts, C. Klueppelberg, T. Mikosch (1997) Modelling Extremal Events for Insurance and Finance. Springer.
2. A.J. McNeil, R. Frey, P. Embrechts (2005) Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.
3. G. Balkema, P. Embrechts (2007) High Risk Scenarios and Extremes. A Geometric Approach. European Mathematical Society, Zurich.
4. S.I. Resnick (2008) Extreme Values, Regular Variation and Point Processes. Springer.
5. S.I. Resnick (2006) Heavy-tail Phenomena. Probabilistic and Statistical Modeling. Springer.
6. L. de Haan, A. Fereira (2006) Extreme Value Theory. An Introduction. Springer.
7. S. Coles (2001) An Introduction to Statistical Modeling of Extreme Values. Springer.
8. R. B. Nelsen (2006) An Introduction to Copulas. Second Edition. Springer.

Kind regards,
Paul.

September 8, 2011 at 5:02 pm

(from Ch-Y Robert)

http://www.amazon.fr/Actuarial-Theory-Dependent-Risks-Measures/dp/047001492X/ref=sr_1_7?s=english-books&ie=UTF8&qid=1313731884&sr=1-7

http://www.amazon.fr/Quantitative-Risk-Management-Concepts-Techniques/dp/0691122555/ref=sr_1_1?s=english-books&ie=UTF8&qid=1313731800&sr=1-1

NGUYEN Thai