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I would also suggest to forget about Hull and Wilmott and would suggest to start with the excellent book by Shreve: "Stochastic Calculus for Finance. Volume II:
by pvitz 4y ago
I would also suggest to forget about Hull and Wilmott and would suggest to start with the excellent book by Shreve: "Stochastic Calculus for Finance. Volume II: Continuous Time Models".
Then, you can quickly read Bjoerk, work through Brigo/Mercurio (if you like that style) or Andersen/Piterbarg. Alternatively, if you want to fully dive into into the subject after Shreve, Musiela/Rutkowski: "Martingale Methods in Financial Modelling" is wonderful.
- dash2 4y agoI'd say that Shreve and Musiela lack rigour and are too focused on trivia, name-dropping and anecdotes. Jiao's "Infinite-dimensional methods in amassing vast bags of gold" is unsurpassed. For its coverage of Black-Scholes, I'd also recommend Schulz's "Good Grief, Charlie Brown". Sorry, everyone seemed to be doing this so I felt I should contribute too.