MSc Mathematical & Computational Finance/ Mathematical Finance pre-course reading list

Probability

J A Rice Mathematical Statistics and Data Analysis (3rd Ed), 2006, Chapters 1-6, Wadsworth-Brooks Cole, 0534399428

G R Grimmett & D R Stirzaker Probability and Random Processes (3rd Ed), 2005 (for the basic properties of random walks on the integers), OUP, 0198572220

 

Linear Algebra

E Kreyszig Advanced Engineering Mathematics (9th Ed), 2006, relevant chapters, Wiley, 0471488852

 

Partial Differential Equations

J Ockendon, S Howison, A Lacey, A Movchan Applied Partial Differential Equations, 1999, (chapters 3, 6.1-6.4) OUP, 0198532431

AC King, J Billingham, SR Otto Differential Equations: Linear, Nonlinear, Ordinary, Partial, 2003 (chapters 1,4,7), CUP, 0521016878

 

Real Analysis

W Rudin Principles of Mathematical Analysis (3rd Ed), 1976, (chapters 1-8,11), McGraw Hill, 0070856133