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Financial Calculus by Martin Baxter, Andrew Rennie

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Appendix 1

Further reading

 

 

 

The longer a list of books is, the fewer will actually be referred to. The lists below have been kept short, in the hope that in this case less choice is more.

Probability and stochastic calculus books

A first course in probability, Sheldon Ross, Macmillan (4th edition 1994, 420 pages)

Probability and random processes, Geoffrey Grimmett and David Stirzaker, Oxford University Press (2nd edition 1992, 540 pages)

Probability with martingales, David Williams, Cambridge University Press (1991, 250 pages)

Continuous martingales and Brownian motion, Daniel Revuz and Mark Yor, Springer (2nd edition 1994, 550 pages)

Diffusions, Markov processes, and martingales: vol. 2 Itô calculus, Chris Rogers and David Williams, ...

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