Reading List for an Introduction to Financial Engineering

Mathematical Finance
- Financial Calculus : An Introduction to Derivative Pricing, by Martin Baxter,
Andrew Rennie
- Stochastic Calculus for Finance I : The Binomial Asset Pricing Model, by
Steven E. Shreve
- Stochastic Calculus for Finance II : Continuous-Time Models, by Steven E.
Shreve
- Introduction to Option Pricing Theory, by Gopinath Kallianpur, Rajeeva L.
Karandikar
Probability and Stochastic Processes
- Elementary Probability Theory, by Kai Lai Chung, Farid Aitsahlia
- Probability Essentials, by Jean Jacod, P. Protter
- Stochastic Differential Equations : An Introduction with Applications, by Bernt
Oksendal
Computer Science and Programming
- Structure and Interpretation of Computer Programs,by Harold Abelson, Gerald
Jay Sussman
- Introduction to Algorithms, by Thomas H. Cormen, Charles E. Leiserson,
Ronald L. Rivest, Clifford Stein
- The C++ Programming Language, by Bjarne Stroustrup
- Design Patterns,by Erich Gamma, Richard Helm, Ralph Johnson, John Vlissides
Numerical Analysis and PDE's
- Introduction to Numerical Analysis, by R. Bulirsch, J. Stoer
- Numerical Partial Differential Equations: Finite Difference Methods, by J.W.
Thomas
General Reading
- My Life as a Quant : Reflections on Physics and Finance, by Emanuel Derman