Lecture Notes

Computational, Quantitative, and Mathematical Finance

  • Lecture Notes

  • Click on linked topics to view lecture notes.

  • Problem Sets

  • Click on the following links topics for problems.

  • References and Further Reading

  • Paul S.P. Cowpertwait, Andrew V. Metcalfe, Introductory Time Series with R, Springer, 2009
    Gergely Daróczi at al., Introduction to R for Quantitative Finance, Packt Publishing, 2013
    Jitka Dupacova, Jan Hurt and Josef Stepan, Stochastic Modeling in Economics and Finance, Kluwer Academic Publishers, 2003
    A.G. Malliaris, W.A. Brock (a Foreword and Contributions), Stochastic Methods in Economics and Finance, Elsevier Science, 1982
    Steven E. Shreve, Stochastic Calculus and Finance, Lecture Notes

    Extended version of Steven Shreve's lecture notes has been published as two books.

    Steven E. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004
    Steven E. Shreve, Stochastic Calculus for Finance II: Continuous Time Models, Springer, 2004
    Ruey S. Tsay, Analysis of Financial Time Series, Financial Econometrics, John Wiley & Sons, Inc.,2002