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Financial Maths

  • 14-05-2010 2:17pm
    #1
    entropic
    Closed Accounts Posts: 172 ✭✭


    Hi there,

    I was hoping to tach myself some financial maths over the summer. I would have a very good grasp of maths but not so much the finance side. Does anybody know any good books on it that would help me out?

    Thanks


Comments

  • #2
    Fremen
    Registered Users, Registered Users 2 Posts: 2,481 ✭✭✭Fremen


    Stochastic calculus for finance volume 2 by Steve Shreve is pretty much the best introduction to mathematical finance around. Self contained and very readable. You could probably give Vol. 1 a miss if you already know some probability theory.

    Options, futures and other derivatives by Hull is less mathematical and more practical. Some maths guys I've spoken to really don't like it because sometimes it doesn't justify the lines of reasoning it uses. If you go for a job in a bank they'll expect you to have read it though. It's often referred to as "the bible".


  • #3
    gleesonger
    Registered Users, Registered Users 2 Posts: 166 ✭✭gleesonger


    It would depend on what your long term goals are?
    If you are interested in financial engineering\trading then the hull book is quite good it is targeted towards college level material. With exercises at the end of each chapter it is very comprehensive however as I only ever needed the book for bits an pieces I can't say how easy it is to pick up from scratch.
    Personally I just finished my degree in Financial Mathematics in DCU and alot of my studies involved the use of Acted Notes these are notes that are designed for those who are pursuing a career in actuary, they are 100% self-contained,self-taught notes but are very expensive if you are paying the full cost yourself.

    Overall it depends on what your reasons are and your educational background, if you have little or no background in this field of maths your in for a tough struggle to which I wish you the best of luck.


  • #4
    IrionDevral
    Registered Users, Registered Users 2 Posts: 14 ✭IrionDevral


    As previous posters have said it really depends on what you're looking for. The Hull book is pretty much required reading for anyone working in financial engineering / quant roles and provides a good (if not overly mathematically rigorous) overview of the subject.

    For more day to day financial maths (interest rates, valuing future cashflows etc) 'An Introduction to the Mathematics of Finance' by McCuthcheon and Scott is good.

    A cheaper alternative to the ActEd notes would be to order the 'core reading' for some of the exams directly from the Institute of Actuaries in the UK. The CT1 exam covers basic financial maths while the stochastic stuff is covered in the later exams. Not sure how to post a link but the syllabus is here: www.actuaries.org.uk/__data/assets/pdf_file/.../FandI_CT1_2010_syl.pdf


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