Textbook Recommendations for Black-Scholes and Stochastic Calculus

Summary

The document collects recommendations for an undergraduate mathematics student seeking an accessible introduction to Black-Scholes theory and stochastic calculus. The suggestions include texts that introduce stochastic calculus and derivative pricing, including approaches based on hedging portfolios and martingales. The responses also mention coverage of American and exotic options and fixed-income derivatives in one recommended reference.

Other contributors point to a professional quantitative finance book list and several additional titles. One recommendation is described as less technical than some alternatives, leaving the reader to decide whether that trade-off suits their needs. This is a resource-seeking exchange rather than an explanation of Black-Scholes mathematics: it does not compare chapters in detail, assess prerequisites systematically, or provide evidence about which text best fits a particular course. Readers would need to consult the books or catalog to judge presentation, rigor, and coverage for themselves.

Key ideas

• The recommendations include texts that develop stochastic calculus before derivative pricing.
• Black-Scholes can be introduced through both hedging arguments and martingale methods.
• Some suggested references also cover American options, exotic products, and fixed-income derivatives.
• The exchange points to a professional quantitative finance book list for further titles.
• It does not provide a detailed comparison of difficulty, prerequisites, or teaching effectiveness.

Tags

# Black scholes text book


# Black scholes text book












I am looking for an easy and well presented introduction to Black-Scholes theory and stochastic calculus aimed at undergraduate mathematics students. Please can you recommend a book?

How about Paul Wilmott on QF?

## Answer by fni (score 2, accepted)

https://quant.stackexchange.com/a/15296

I suggest you Arbitrage Theory in Continuous Time by Tomas Bjork. It is a standard reference introducing Stochastic Calculus, then Black-Scholes both from a hedging portfolio perspective and a martingale point of view. It has also some nice chapters on American Options, exotic options and Fixed income derivatives.

## Answer by Vivek (score 1)

https://quant.stackexchange.com/a/15293

http://www.iaqf.org/bookstore Here you can find the list of books recommended by the professionals in quantitative finance. You can search the recommended books for each topic.

## Answer by vonjd (score 1)

https://quant.stackexchange.com/a/15298

Have a look at the following titles:

- http://www.worldscientific.com/worldscibooks/10.1142/3856

- http://books.google.de/books?id=z42E_VIaQbIC&lpg=PR2&pg=PR2#v=onepage&q&f=false

- http://www.markjoshi.com/concepts/

- http://www.worldscientific.com/worldscibooks/10.1142/8495

## Answer by Bob Jansen (score 1)

https://quant.stackexchange.com/a/15301

I like Financial Calculus: An Introduction to Derivative Pricing by Baxter and Rennie. It's less technical than Shreve or Bjork, whether that's an advantage or disadvantage is up to you.

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