Reading List

1. S.E Shreve, Stochastic Calculus for Finance, vols I and II, (Springer 2004).
2. T. Bjork, Arbitrage Theory in Continuous Time (Oxford University Press, 1998).
3. P. Wilmott, S. D. Howison and J. Dewynne, Mathematics of Financial Derivatives (Cambridge university Press, 1995).
4. A. Etheridge, A Course in Financial Calculus (Cambridge University Press, 2002).

Background on Financial Derivatives

1. J. Hull, Options Futures and Other Financial Derivative Products, 4th edition (Prentice Hall, 2001).