Book List for Graduate School
in Economics or Finance
Alexander K. Zentefis
The University of Chicago, Booth School of Business
azentefi@ChicagoBooth.edu
October 12, 2015
These are books that I personally think are helpful references for graduate school in economics
or finance. The list is divided into five parts. The first part has books that cover some of the
mathematics regularly used in Economics and Finance. The next three address the core areas in
Economics: Microeconomics, Macroeconomics, and Econometrics. The final part is for Finance.
I do not pretend this list is definitive, exhaustive, or satisfactory to everyone. Undoubtedly, I
have omitted exceptional books which too are valuable in graduate school, books some people
may think deserve to be on a list like this. If so, I have left those books out unwittingly and with
no ill-intent. Other people may read this list and angrily disagree with my selections: well, they
can make their own list.
Finally, I do not mean to give the impression that mastery of all these books is required for
success in graduate school. Certainly not. You should use your own best judgment to decide what
to read as you progress in your program. This list, I hope, provides some direction. If there is but a
single graduate student who, after seeing this list, picks from it a book that eventually helps him
or her better understand a concept, this list has done its job.
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Mathematical Economics
Foundations
• Mathematics for Economists, Simon and Blume
• Fundamental Methods of Mathematical Economics, Chiang and Wainwright
• Mathematical Methods and Models for Economists, de la Fuente
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• Mathematics for Economics and Finance, Harrison and Waldron
Calculus / Analysis
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Vector Calculus, Marsden and Tromba
Principles of Mathematical Analysis, Rudin
Real and Complex Analysis, Rudin
Real Analysis, Royden and Fitzpatrick
Introductory Real Analysis, Kolmogorov and Fomin, trans. and ed. by Silverman
Understanding Analysis, Abbott
Real Analysis with Economic Applications, Ok
Beginning Functional Analysis, Saxe
Linear Functional Analysis, Rynne and Youngson
Elementary Functional Analysis, MacCluer
Functional Analysis, Sobolev Spaces, and Partial Differential Equations, Brezis
Linear Algebra
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Linear Algebra Done Right, Axler
Linear Algebra and its Applications, Strang
Finite Dimensional Vector Spaces, Halmos
Advanced Linear Algebra, Roman
The Matrix Cookbook, Petersen and Pedersen
– Link: The Matrix Cookbook - Petersen and Pedersen
Probability / Statistics
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Statistical Inference, Casella and Berger
Probability and Statistics, DeGroot and Schervish
A First Course in Probability, Ross
Probability Essentials, Jacod and Protter
A First Look at Rigorous Probability Theory, Rosenthal
Probability: Theory and Examples, Durrett
Probability and Measure, Billingsley
Static Optimization
• Optimization in Economic Theory, Dixit
• A First Course in Optimization Theory, Sundaram
• Convex Optimization, Boyd and Vandenberghe
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Dynamic Optimization
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Dynamic Programming, Bellman
Dynamic Programming and the Calculus of Variations, Dreyfus
Dynamic Programming and Optimal Control vol. I and II, Bertsekas
Calculus of Variations and Optimal Control Theory, Liberzon
Optimal Control Theory and Static Optimization in Economics, Léonard and Van Long
Dynamic Optimization, Kamien and Schwartz
Elements of Dynamic Optimization, Chiang
Optimal Control: Basics and Beyond, Whittle
Optimal Control Theory with Economic Applications, Seierstad and Sydsæter
Microeconomics
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Microeconomic Theory, Mas-Colell, Whinston, and Green
Advanced Microeconomic Theory, Jehle and Reny
Intermediate Microeconomics: A Modern Approach, Varian
Microeconomic Analysis, Varian
The Applied Theory of Price, McCloskey
– Link: The Applied Theory of Price - McCloskey
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Price Theory, Friedman
The Economic Approach to Human Behavior, Becker
Economic Theory, Becker
Social Choice and Individual Values, Arrow
Theory of Value, Debreu
Theory of Games and Economic Behavior, von Neumann and Morgenstern
Game Theory: Analysis of Conflict, Myerson
An Introduction to Game Theory, Osborne
Game Theory, Fudenberg and Tirole
The Theory of Industrial Organization, Tirole
Macroeconomics
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Discrete Dynamical Systems, Galor
Linear Systems: A Primer, Antsaklis and Michel
Introduction to Dynamic Systems, Luenberger
Intertemporal Macroeconomics, Azariadis
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Recursive Macroeconomic Theory, Ljungqvist and Sargent
Dynamic Macroeconomic Theory, Sargent
Recursive Methods in Economic Dynamics, Stokey and Lucas, with Prescott
Recursive Models of Dynamic Linear Economies, Hansen and Sargent
Dynamic Economics, Adda and Cooper
Economic Growth, Barro and Sala-i-Martin
Introduction to Modern Economic Growth, Acemoglu
Monetary Policy, Inflation, and the Business Cycle, Galí
Interest and Prices, Woodford
Lectures on Macroeconomics, Blanchard and Fischer
Foundations of International Macroeconomics, Obstfeld and Rogoff
Advanced Macroeconomics, Romer
Labor Markets and Business Cycles, Shimer
Understanding Consumption, Deaton
A Monetary History of the United States, 1867-1960, Friedman and Schwartz
Methods for Applied Macroeconomic Research, Canova
Structural Macroeconometrics, DeJong and Dave
The ABCs of RBCs, McCandless
Dynamic General Equilibrium Modeling, Heer and Maussner
Econometrics
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Introduction to the Mathematical and Statistical Foundations of Econometrics, Bierens
Asymptotic Statistics, van der Vaart
Econometric Analysis of Cross Section and Panel Data, Wooldridge
Mostly Harmless Econometrics, Angrist and Pischke
Microeconometrics, Cameron and Trivedi
A Guide to Modern Econometrics, Verbeek
Econometrics, Hansen
– Link: Econometrics - Hansen
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A Course in Econometrics, Goldberger
Econometric Theory and Methods, Davidson and MacKinnon
Econometrics, Hayashi
Time Series Analysis, Hamilton
Econometric Modelling with Time Series, Martin, Hurn and Harris
Time Series for Macroeconomics and Finance, Cochrane
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– Link: Time Series - Cochrane
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Forecasting in Business and Economics, Granger
Cointegration, Causality, and Forecasting, ed. by Engle and White
Contemporary Bayesian Econometrics and Statistics, Geweke
Bayesian Econometrics, Koop
Finance
Stochastic Processes / Itô Calculus
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Stochastic Calculus for Finance, vol. I and II, Shreve
Introduction to Stochastic Processes, Lawler
Stochastic Differential Equations, Øksendal
Statistics of Random Processes, vol. I and II, Liptser and Shiryaev
Stochastic Processes and Filtering Theory, Jazwinski
Diffusions, Markov Processes, and Martingales, vol. I and II, Rogers and Williams
Stochastic Processes, Doob
Theory of Markov Processes, Dynkin
Brownian Motion and Stochastic Calculus, Karatzas and Shreve
A First Course in Stochastic Processes, Karlin and Taylor
A Second Course in Stochastic Processes, Karlin and Taylor
Stochastic Integration and Differential Equations, Protter
Introduction to Stochastic Integration, Kuo
Stochastic Processes, Ross
Continuous Martingales and Brownian Motion, Revuz and Yor
An Introduction to Markov Processes, Stroock
Martingale Limit Theory and Its Application, Hall and Heyde
Stochastic Control
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Introduction to Stochastic Control Theory, Astrom
Discrete-Time Markov Control Processes, Hernández-Lerma and Lasserre
The Art of Smooth Pasting, Dixit
Brownian Motion and Stochastic Flow Systems, Harrison
Stochastic Optimal Control: The Discrete Time Case, Bertsekas and Shreve
Deterministic and Stochastic Optimal Control, Fleming and Rishel
Controlled Markov Processes and Viscosity Solutions, Fleming and Soner
Applied Stochastic Control of Jump Diffusions, Øksendal and Sulem
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Continuous-time Stochastic Control and Optimization with Financial Applications, Pham
Stochastic Control in Discrete and Continuous Time, Seierstad
Stochastic Controls: Hamiltonian Systems and HJB Equations, Yong and Zhou
Stochastic Calculus of Variations in Mathematical Finance, Malliavin and Thalmaier
The Economics of Inaction, Stokey
Investment under Uncertainty, Dixit and Pindyck
Optimization Methods in Finance, Cornuejols and Tütüncü
General Theory of Finance
• Foundations of Finance, Fama
– Link: Foundations of Finance - Fama
• The Theory of Finance, Fama and Miller
– Link: The Theory of Finance - Fama and Miller
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Continuous-Time Finance, Merton
Theory of Valuation, Bhattacharya and Constantinides
Financial Markets Theory, Barucci
Essentials of Stochastic Finance, Shiryaev
Handbook of the Economics of Finance, vol. I and II, ed. by Constantinides, Harris, and Stulz
General Equilibrium Foundations of Finance, Hens and Pilgrim
Foundations for Financial Economics, Huang and Litzenberger
Theory of Financial Decision Making, Ingersoll, Jr.
Methods of Mathematical Finance, Karatzas and Shreve
A History of the Theory of Investments, Rubinstein
Asset Pricing / Portfolio Theory
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Asset Pricing, Cochrane
Dynamic Asset Pricing Theory, Duffie
Asset Pricing and Portfolio Choice Theory, Back
A Course in Derivative Securities, Back
Strategic Asset Allocation, Campbell and Viceira
Optimal Consumption and Investment with Bankruptcy, Sethi
Asset Prices and Monetary Policy, ed. by Campbell
Empirical Dynamic Asset Pricing, Singleton
Credit Risk, Duffie and Singleton
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Financial Asset Pricing Theory, Munk
The Mathematics of Arbitrage, Delbaen and Schachermayer
Fixed Income Securities: Valuation, Risk, and Risk Management, Veronesi
Handbook of Fixed-Income Securities, ed. by Veronesi
Modeling Fixed-Income Securities and Interest Rate Options, Jarrow
Fixed Income Securities: Tools for Today’s Markets, Tuckman and Serrat
Corporate Finance / Banking
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The Theory of Corporate Finance, Tirole
Firms, Contracts, and Financial Structure, Hart
Contract Theory, Bolton and Dewatripont
Corporate Finance, Berk and DeMarzo
Contract Theory in Continuous-Time Models, Cvitanić and Zhang
Microeconomics of Banking, Freixas and Rochet
Financial Econometrics
• Handbook of Financial Econometrics, vol. I and II, ed. by Aït-Sahalia and Hansen
• The Econometrics of Financial Markets, Campbell, Lo and MacKinlay
• Analysis of Financial Time Series, Tsay
Market Microstructure
• Empirical Market Microstructure, Hasbrouck
• Market Microstructure Theory, O’hara
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