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Unformatted text preview: Reference List 1 for STOR 890, Spring 2011  Introduction to the Economics and Mathematics of Financial Markets (J. Cvitanic and F. Zapatero, 2004, MIT Press) an accessible treatise of asset pricing theory and some other topics, both discrete-time and continuous-time models covered.  Stochastic Calculus for Finance, Vol I & II (Steven Shreve, 2004, Springer) a superb rigorous treatment for discrete-time (Vol I) and continuous-time (Vol II) finance.  Arbitrage Theory in Continuous Time (2nd edition, Tomas Bjork, 2004, Oxford Univ. Press) a broad coverage of many topics in asset pricing theory, presented at a high mathematical level but in a lucid style, focusing on continuous-time models.  Asset Pricing (revised edition, John Cochrane, 2005, Princeton Univ. Press) a beautiful book of asset pricing from the modern viewpoint of stochastic discounted factors.  The Econometrics of Financial Markets (J.Y. Campbell, A. Lo and A.C. MacKinlay, 1997, Princeton Univ. Press) a comprehensive book in empirical finance.Princeton Univ....
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- Spring '08