- Stochastic Optimal Control: The Discrete Time Case with Dimitri P. Bertsekas, Academic Press, 1978.
- Brownian Motion and Stochastic Calculus with Ioannis Karatzas Springer-Verlag, 2nd Ed. 1991.
- Methods of Mathematical Finance with Ioannis Karatzas Springer-Verlag, 1998
- Stochastic Calculus for Finance. Volume I: The Binomial Asset Pricing Model
- Volume II: Continuous-Time Models Springer-Verlag, 2004
The most recent volume was awarded "New Book of the Year" by Wilmott magazine.