鞅定价的经典书籍
10.Financial calculus for finance I&II——Shreve
11.Finite Difference Methods in Financial Engineering——Daniel J. Duffy
12.Implementing Models in Quantitative Finance: Methods and Cases——Fusai Roncoroni
13.Mathematical Models of Financial Derivatives——Kwok
14.PRINCIPLES OF FINANCIAL ENGINEERING——Neftci

无套利定价

Cox, J., S. Ross, and M. Rubinstein, 1979, Option pricing: a simplified approach, Journal of Financial Economics 7, 229-263.

Duffie, D., 2003, Intertemporal asset pricing theory, in Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands.

Harrison, J. and D. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics, 92, 323–336.

Harrison, J. and D. Kreps, 1979, Martingales and arbitrage in multi-period securities markets, Journal of Economic Theory, 20, 381-408.

这些在论坛里都可以找到