Book
Fred Espen Benth: Option Theory with Stochastic Analysis, 2004. Springer Verlag.
Syllabus
Chapter 1
Chapter 2: 2.1, 2.2, 2.3, 2.4 and 2.7.
Chapter 3
Chapter 4: 4.1, 4.2 4.3, 4.4, 4.5, 4.6, 4.7 (4.8 is for self-study)
Chapter 5: 5.1 (5.1.4 is for self-study)
All exercises and the compulsory task are part the required knowledge