Books/Resources to begin learning mathematical finance
It is near impossible to try get into a postgraduate financial mathematics course with only a BCom degree so looking for some resources to begin learning the quantitative side of finance on my own. I have had some minimal maths/stats experience but would rather suggestions from complete beginner -> intermediate -> expert.
Any suggestions on topics/books for each level would be appreciated. When I am saying from the bottom, even the mathematical principles before learning stochastic calculus applications in finance is desired. I’d like to be well rounded so coverage of maths/stats/compsci/advanced financial methods equally would be ideal.
Steven Shreve's Stochastic Calculus for Finance II: Continuous-Time Models is standard reading. Walks you through the basics of stochastic calculus and derivation of the Black-Scholes PDE.
Then read Iain Clark's Foreign Exchange Option Pricing: A Practitioner's Guide for the corresponding equations for FX options.
And of course, John Hull's Options, Futures, and Other Derivatives.
Not sure how much programming experience you have, but Mark Joshi's C++ Design Patterns and Derivatives Pricing provides a primer on C++ and how to implement a Monte Carlo simulation model.
If I am very new to deeper financial mathematics - should I read Stochastic Calculus I first? Any bridging books before that?
I'd recommend starting with the first few chapters of book 2, up to deriving the BS PDE. You should be able to master that as long as you know basic calculus (speaking from experience here).
Are you trying to learn math finance or be a more well-rounded in mathematics? what are you ultimately trying to do with this new knowledge?
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