Taleb's probability theory library

Last Updated: Mar 29, 2020

Here are some books on probability theory that have been praised by Nassim Taleb, along with his commentary (when available).


Stochastic Processes

Information Theory

Extreme Value Theory

Limit Theorems

Stable Distributions

Subexponentiality (papers)


Taleb has also remarked on Twitter that Stoyanov, Counterexamples in Probability is a good read.


Many of the above books came from one of Taleb’s tweets and page 87 of his Statistical Consequences of Fat Tails, 2020. Taleb’s Amazon recommendations are another source.

A thorough compilation of all of Taleb’s Amazon recommendations (as of 2012) is available on Farnam Street. Here I have limited the selections to probability theory alone; for mathematical finance, statistics, philosophy, etc., consult Farnum Street or Taleb’s Amazon page for more recent reviews (e.g. Hastie, Elements of Statistical Learning and Goodfellow, Deep Learning).