This list relates to the academic year Academic Year 2017/18 which ended on 20/07/2018
This list has been archived
  1. Probability 3 items
    1. Understanding Probability by Henk Tijms 09/10/2017

      Webpage Optional A book that tries to give an intuitive understanding of probability. Available online via UCL library.

    2. Probability: Theory and Examples. - R. Durrett 1993

      Book Optional A more mathematical approach to probability. Available online

    3. Probability theory: the logic of science - E. T. Jaynes 2003

      Book Optional A different view of probability with emphasis in testing: useful when using backtetsig and estimation. Available online via UCL library

  2. Main references 5 items
    1. Stochastic finance - Hans Föllmer 2002

      Book Recommended An excellent introduction of several mathematical finance problem. More mathematical than our own course. Available online via UCL library.

    2. Asset pricing and portfolio choice theory - K. Back 2010

      Book Recommended A good book with a more economics and finance view.

    3. Asset pricing - John H. Cochrane 2005

      Book Optional A classic financial economics work on modern portfolio theory.

    4. Quantitative risk management: Concepts, techniques and tools - McNeil, Alexander J., Frey, Rüdiger, Embrechts, Paul 2015, 31/08/2016

      Book Recommended Very good bock on risk management.

    5. Methods of mathematical finance - Karatzas, Ioannis, Shreve, Steven E. 1998, 31/08/2016

      Book Optional Excellent book for more advanced students: it rigorously applies the portfolio choice concepts we introduce in continuous time.

  3. Python 2 items
    1. Python: an introduction to programming - James Parker 2017

      Book Optional A simple reference for those not very confident in their programming skills

    2. Mastering Python for finance: understand, design, and implement state-of-the-art mathematical and statistical applications used in finance with Python - James Ma Weiming 2015

      Book Optional A reference that contains some of the problems we consider in this course.

  4. On the news 2 items
    Some references of subjects related to the lecture appearing on the news.
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