Required books for Fall 2007

[Admin]

The following are books we will use for Fall 2007 semester. You can purchase these books by clicking on the book covers.

MTH 9814: A Quantitative Introduction to Pricing Financial Instruments
Required: Options, Futures and Other Derivatives (6th Edition) by John Hull
Publisher: Prentice Hall; 6 edition (June 10, 2005)

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MTH 9815: Object Oriented Programming for Financial Applications
Required: C++ Design Patterns and Derivatives Pricing (Hardcover) by Mark S. Joshi
Absolute C++ by Walter Savitch 3rd Edition.

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Optional:Financial Instrument Pricing Using C++ Daniel Duffy
Effective C++, 3rd Edition Scott Meyers
More Effective C++, Scott Meyers
Effective STL, Scott Meyers
Murach C# 2005, Mike Murach

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MTH 9821: Numerical Linear Algebra
Required: Linear Algebra by Gil Strang
Publisher: Cambridge Press, 2003

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MTH 9831: Real Analysis and Probability
Required: Measure, Integral and Probability (Paperback) by Marek Capinski, Peter E. Kopp,

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Recommended:

Probability Essentials (Paperback) by Jean Jacod, Philip Protter; 2nd edition,
Stochastic Calculus for Finance II: Continuous-Time Models (Springer
Finance) (Hardcover) by Steven E. Shreve, # ISBN-10: 0387401016 # ISBN-13: 978-0387401010.

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MTH 9862: Stochastic Processes in Finance
Required: Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) (Hardcover) by Steven E. Shreve

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MTH 9849: Deal Theory and Structured Analysis
Required The Analysis of Structured Securities, by Ann Rutledge and Sylvain Raynes, Oxford University Press, August 2003

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Recommended: "Numerical Recipes in C", by Press et al., Cambridge University Press, 2nd Edition, 1992

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MTH 9873: Interest Rate Models and Interest Rate Derivatives
No textbook

[Andy]

Optional books for C++ course have been added to the list

Optional:Financial Instrument Pricing Using C++ Daniel Duffy
Effective C++, 3rd Edition Scott Meyers
More Effective C++, Scott Meyers
Effective STL, Scott Meyers
Murach C# 2005, Mike Murach

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[RussianMike]

what about prof. Neftci's class? I do not believe we need a book

[dstefan]

what about prof. Neftci's class? I do not believe we need a book

No book needed, I believe, or will otherwise indicated in class.

[Yan He]

Hi, does anyone know which book is to be used for Interest Rate Model? Thanks a lot.:tiphat:

[dstefan]

no book, instructor's notes.

[msj]

Required: C++ Design Patterns and Derivatives Pricing (Hardcover) by Mark S. Joshi

if studying from this book, please make use of the book bulletin board on Mark Joshi's Home Page (www.markjoshi.com)

[SteveTownsend]

Thanks for the pointer, Mark.

As the newly-installed moderator of the Computing Forum here, I'd also like to invite your contribution there as your time permits. The Baruch program has a heavy C++ focus.

Regards
Steve