Program in Quantitative Finance

Applied Mathematics and Statistics

Stony Brook University

Recommended Texts

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          Recommended Texts

This is a listing of recommended texts. Most are available in the Math/Physics Library are also found under individual courses in the Graduate Course Descriptions page.

In the Career Guide there is a section on texts dealing with careers in quantitative finance, the history of the discipline, writing rŽsumŽs, sample interview questions and so forth.

If you feel that we've missed something important, then we welcome recommedations! Email them to us here.



  • Baxter, Martin, and Andrew Rennie, Financial Calculus, Cambridge University Press, 1996.


  • Bluhm, Christian, Ludger Overbeck and Christoph Wagner, An Introduction to Credit Risk Management, Chapman and Hall, 2002.


  • Brigo, Domiano, and Fabio Mercurio, Interest Rate Models - Theory and Practice, Springer, 2001.


  • Campbell, John Y., & Luis M. Viceira, Strategic Asset Allocation, Oxford University Press, 2002.


  • C’erny«, Ales’, Mathematical Techniques in Finance: Tools for Incomplete Markets, Princeton University Press, 2004.


  • Cont, Rama, and Peter Tankov, Financial Modelling with Jump Processes, Chapman & Hall, 2004.


  • Duffie, Darrell,  Dynamic Asset Pricing Theory, 3rd Ed., Princeton University Press, 2001.


  • Elton, Edwin J., Martin J. Gruber, Stephen J. Brown & William N. Goetzmann, Modern Portfolio Theory and Investment Analysis (6th Ed.), Wiley, 2002.


  • Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer, 2004.


  • Gollier, Christian, The Economics of Risk and Time, MIT Press, 2004.


  • Hull, John C., Options, Futures and Other Derivatives (5th ed.), Prentice Hall. 2003.


  • Jaeckel, Peter, Monte Carlo Methods in Finance, Wiley, 2002.


  • Lewis, Alna L., Option Valuation under Stochastic Volatility, Finance Press, 2000.


  • Luenberger, David G., Investment Science, Oxford University Press, 1997.


  • Luenberger, David G., Linear and Nonlinear Programming (2nd ed.), Kluwer Academic Publishers, 2003.


  • Luenberger, David G., Optimization by Vector Space Methods, Wiley, 1969.


  • Markowitz, Harry M., Mean-Variance Analysis in Portfolio Choice and Capital Markets, Blackwell, 1987.


  • Mason, Scott, Robert Merton, Andre Perold and Peter Tufano, Cases in Financial Engineering, Prentice-Hall, 1995.
  • Meucci, Attilio, Risk and Asset Allocation, Springer, 2005.
  • Merton, Robert C., Continuous Time Finance, Blackwell, 1990.


  • Nocedal, Jorge, & Stephen J. Wright, Numerical Optimization, Springer-Verlag, New York, 1999.


  • Schšnbucher, Philipp J., Credit Derivatives Pricing Models: Models Pricing and Implementation, Wiley, 2003.


  • Schoutens, Wim, LŽvy Processes in Finance: Pricing Financial Derivatives, Wiley, 2003.


  • Sharpe, William F., Gordon Alexander & Jeffery V. Baily, Investments (6th Edition), Prentice-Hall, 1998.


  • Shaw, William, Modeling Financial Derivatives with Mathematica, Cambridge University Press, 1998.


  • Shiriaev, Albert N., Essentials of Stochastic Finance: Facts, Models, Theory, World Scientific Publishing, 1999.


  • Shreve, Steven E., Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004.


  • Shreve, Steven E., Stochastic Calculus for Finance II: Continuous Time Models, Springer, 2004.


  • Stojanovic, Srdjan, Computational Financial Mathematics using Mathematica, BirkhŠuser, 2003.


  • Taleb, Nassim, Dynamic Hedging - Managing Vanilla and Exotic Options, Wiley, 1997.


  • Tavakoli, Janet M., Credit Derivatives and Synthetic Structures, 2nd Ed., Wiley, 2001.


  • Wilmott, Paul, Sam Howison, and Jeff Dewynne The Mathematics of Financial Derivatives-A Student Introduction, Cambridge University Press, 1995.