Recommended books for Maths for finance

vitasoy · March 3rd, 2004, 5:57 pm

Hi I am trying to dip my fingers and prepare myself for Phd . Was wondering what are the standard recommended mathematics text for 1) Econometrics / Time Series 2) stochastic calculus 3) probability theory. For me I am using oksendal's book currently for this term for stochastic calculusI learnt a bit of measure theory before. Will be studying econometrics next term. So any advices.For stochastic calculus I think shreve is the standard text.Are there other stuff I need to work on?

ASSetStudent · March 3rd, 2004, 6:18 pm

fin econometrics - campbell, lo and mackinlay.time series - hamiltonstoch calculus- karatzas and shreve

u418936 · March 4th, 2004, 1:31 am

PhD in what?Anyways:time series econometrics: enders (pretty easy); hamilton (harder, but still kinda easy); you should get both.regular econometrics: hayashi (good introduction).st. calc: Oksendal is my favorite; K&S is pretty tough. for most of the stuff i run into, Oksendal is more than sufficient.Prob: Billingsley is great.

vitasoy · March 4th, 2004, 2:26 am

thinking of either Phd in finance or econometrics.