Does anyone know a book which covers topics on:

Brownian Motion


Stochastic Calculus

Stochastic Differential Equations

Options pricing. Black-Scholes model

Fundamental Theorems. Interest Rates

Random Walk

Applications in Insurance

Simulations. Convergence

Simulation methods

I would like something in-depth, but at an undergraduate level.


A recommended book which covers most of your topics is Options, Futures and Other Derivatives - John Hull. Regarding simulation methods, I would suggest Monte Carlo Methods in Financial Engineering - Paul Glasserman..

Both books are a good starting point.


Oksendal, Stochastic Differential Equations is also a very good book to learn stochastic calculus.

  • $\begingroup$ A great book!!! $\endgroup$ – Permian Oct 28 '18 at 17:38

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