- The Mathematical Theory of Thermodynamic Limits: Thomas--Fermi Type Models (Oxford Mathematical Monographs)
- Mathematical Topics in Fluid Mechanics: Volume 1: Incompressible Models (Oxford Lecture Series in Mathematics and Its Applications, 3)
- Paris-Princeton Lectures on Mathematical Finance 2010
- Mathematical Topics in Fluid Mechanics: Volume 2: Compressible Models (Oxford Lecture Series in Mathematics and Its Applications , Vol 2, No 10)
- Paris-Princeton Lectures on Mathematical Finance 2004