Hello, everyone,I have a Phd in Physics. It took me about half a year to learn math finance by myself, and finally got an offer in an IB. Now I am working as a quant for an interest rate derivative desk (mostly exotic derivatives). After one year's work, I feel my limited mathematical knowledge may be the bottleneck of my future career development. I really want to improve it. So could you please recommend some math books for quants with physics background? Thanks.

There are very good applied probability books byKarlin & Taylor, Durrett, Rogers & Williams, Feller, Revuz & Yor, Oksendal,and, as a secondary list, Ito & McKean, Breiman, Doob, Sato, Protter,most very accessible to physicists. Is that the area you are looking for? (If so, google for the titles, or maybethe bookshop will post titles for you regards,

An Introduction to Stochastic Modeling by Howard Taylor and Samuel Karlin, Diffusions, Markov Processes, and Martingales: Volume 1 by L. C. G. Rogers and David Williams, An Introduction to Probability Theory and Its Applications: Vol 2 by William Feller Continuous Martingales and Brownian Motion by Daniel Revuz and Marc Yor Stochastic Differential Equations by Bernt Oksendal are some of the titles available by these authors from the Wilmott Bookshop. If you wanted to browse the bookshop for other titles try searching from the homepage.The Wilmott Bookshop.

Save me a lot typing, thanks. A lot of these come with a Vol 1 & 2.For Karlin & Taylor, I meant "A Second Course in Stochastic Processes"

Not sure Revuz and Yor or Roger and Williams are quite OK for physics background folk. My favorite is Feller and (the second) Karlin and Taylor

Dash - Contains theory & finance.

QuoteOriginally posted by: scholarNot sure Revuz and Yor or Roger and Williams are quite OK for physics background folk. My favorite is Feller and (the second) Karlin and TaylorCertainly the first two you mention are more difficult. But they are both encyclopedic and fairly standardreferences. Plus, both Yor, and Rogers, often contribute currently to finance, so it helps to know how the probabilists think about the subject. If I could only buy one on my list, it would be Karlin & Taylor.

QuoteOriginally posted by: Alan Save me a lot typing, thanks. A lot of these come with a Vol 1 & 2.For Karlin & Taylor, I meant "A Second Course in Stochastic Processes"A Second Course in Stochastic Processes is also available from the Wilmott Bookshop!

I really liked Oksendal because it was short but had a lot of applications of SDE's to things other than finance. Also Cont and Tankov's book "Financial Modelling with Jump Processes" had a very readable introduction to probability theory.

QuoteOriginally posted by: scholarNot sure Revuz and Yor or Roger and Williams are quite OK for physics background folk. My favorite is Feller and (the second) Karlin and TaylorI think the only way one can learn continuous time processes from Revuz and Yor is by at least a year of painful, slow, slogging. It is definitely not a good place to start. The Revuz and Yor way of teaching is to go into exhaustive detail of every topic they cover. To actually be able to build some intuition in the process, the reader has the responsibility of distinguishing the truly important results from the technical details. While this sounds like cakewalk, it is not that easy in a first pass throught the material - I speak from painful experience. An alternative is Karatzas and Shreve, a hair's breadth more readable.

QuoteOriginally posted by: electricalQuoteOriginally posted by: scholarNot sure Revuz and Yor or Roger and Williams are quite OK for physics background folk. My favorite is Feller and (the second) Karlin and TaylorI think the only way one can learn continuous time processes from Revuz and Yor is by at least a year of painful, slow, slogging. It is definitely not a good place to start. The Revuz and Yor way of teaching is to go into exhaustive detail of every topic they cover. To actually be able to build some intuition in the process, the reader has the responsibility of distinguishing the truly important results from the technical details. While this sounds like cakewalk, it is not that easy in a first pass throught the material - I speak from painful experience. An alternative is Karatzas and Shreve, a hair's breadth more readable.Revuz and Yor's book is heavily used in UW's math finance program

QuoteOriginally posted by: twofish I really liked Oksendal because it was short but had a lot of applications of SDE's to things other than finance. Also Cont and Tankov's book "Financial Modelling with Jump Processes" had a very readable introduction to probability theory.Bernt Oksendal's Stochastic Differential Equations is available from the Wilmott Bookshop.

QuoteOriginally posted by: twofish I really liked Oksendal because it was short but had a lot of applications of SDE's to things other than finance. Also Cont and Tankov's book "Financial Modelling with Jump Processes" had a very readable introduction to probability theory.Financial Modelling with Jump Processes is available from the Wilmott Bookshop.

QuoteOriginally posted by: J QuoteOriginally posted by: electricalQuoteOriginally posted by: scholarNot sure Revuz and Yor or Roger and Williams are quite OK for physics background folk. My favorite is Feller and (the second) Karlin and TaylorI think the only way one can learn continuous time processes from Revuz and Yor is by at least a year of painful, slow, slogging. It is definitely not a good place to start. The Revuz and Yor way of teaching is to go into exhaustive detail of every topic they cover. To actually be able to build some intuition in the process, the reader has the responsibility of distinguishing the truly important results from the technical details. While this sounds like cakewalk, it is not that easy in a first pass throught the material - I speak from painful experience. An alternative is Karatzas and Shreve, a hair's breadth more readable.Revuz and Yor's book is heavily used in UW's math finance programMethods of Mathematical Finance: Stochastic Modelling and Applied Probability by Karatzas and Shreve is available from the Wilmott Bookshop.

QuoteOriginally posted by: JRevuz and Yor's book is heavily used in UW's math finance programUniversity of Washington ? Wisconsin ? Windsor ?