References quoted in the lessons

Aumann, Robert J. [1974]: Subjectivity and correlation in randomized strategies, Journal of Mathematical Economics, 1, 67-96.

Aumann, Robert J. [1976]: Agreeing to Disagree, Annals of Statistics, 4, 1236-1239.

Aumann, Robert J. [1987]: Correlated equilibrium as an expression of Bayesian rationality, Econometrica, 55, 1-18.

Aumann, Robert J. [1987]: Game Theory, in "The new Palgrave Dictionary of Economics", (editors: J. Eatwell, M. Milgate and P. Newman), Macmillan, Londra, 460-482. An interesting introduction to game theory

Border, Kim [1985]: Fixed Point Theorems with Applications to Economics and Game Theory, Cambridge Univ. Press, Cambridge.
Good reference for fixed points and their applications in game theory and economics

Dunford, Nelson, and Jacob T. Schwartz [1958]:Linear operators, Interscience, New York (NY).
A classical reference for functional analysis and measure theory

Glicksberg, Irving L. [1952]: A Further Generalization of the Kakutani Fixed Point Theorem with Application to Nash Equilibrium Points, Proc. Amer. Math. Soc., 3, 170-174.
Extension of Nash's theorem to the case of infinite sets of pure strategies (spaces with compact sets of pure strategies and continuous payoffs)

Harsanyi, John C. [1968]: Games with incomplete information played by Bayesian players, Parts I, II and III, Management Science, 14, 159-182, 320-334, 486-502.
The famuous three papers in which Harsanyi introduces his model for games with incomplete information

Hildenbrand, Werner [1974]: Core and Equilibria for a Large Economy, Princeton University Press, Princeton (NJ). A reference for games with an infinite set of players.

Kakutani, Shizuo [1941]: A Generalization of Brouwer's Fixed Point Theorem, Duke Math. J., 8, 457-458.
The fixed point theorem used for the proof of existence for Nash equilibria (for mixed extensions of finite games)

Klein, Erwin and Anthony C. Thompson [1984]: Theory of correspondences, Wiley, New York.
A good reference for correspondences and topologies on ``hyperspaces'' (sets of subsets of a topological space). With applications to game theory and mathematical economics

Kreps, David Mark [1990]: A Course in Microeconomic Theory, Harvester Wheatsheaf, New York.
A good reference for use of game theory in microeconomics.

Luce, R. Duncan and Howard Raiffa [1957]: Games and Decisions, Wiley, New York.
A classic reading, still extremely interesting.

Myerson, Roger B. [1991]: Game Theory: Analysis of Conflict, Harvard University Press, Cambridge (MA).
A very good general reference.

von Neumann, John [1928]: Zur Theorie der Gesellschaftsspiele, Matematische Annalen, 100, 295-320; english translation: "On the Theory of Games of Strategy", in "Contributions to the Theory of Games", n. IV, 13-42, 1959; see also: "Collected Works", vol. VI.
The "minimax" theorem.

von Neumann, John [1937]: Über ein ökonomisches Gleichungssystem und eine Verallgemeinerung der Brouwer'schen Fixpunktsatzes, Ergebnisse eines Math. Kolloquiums, 8, 73-83.
The growth model of von Neumann.

von Neumann, John and Oskar Morgenstern [1944]: Theory of Games and Economic Behavior, Princeton University Press, Princeton, 1944; second edition (with appendix on axiomatic foundations of expected utility): 1947; third edition: 1953.
The birth of game theory.

Osborne, Martin and Ariel Rubinstein [1994]: A course in Game Theory, MIT Press, Cambridge (MA).
A very good general reference.  

Further references and suggested readings

Aumann, Robert J. e Sergiu Hart: Handbook of Game Theory, North-Holland, Amsterdam, 1992, 1994.
A collection of surveys on "all" fields of game theory.

Binmore, Ken: Fun and games, Heath and Company, Lexington (MA), 1992.
A general reference.

Fishburn, Peter C.: Utility Theory for Decision Making, Krieger, Huntington (NY), 1979.
A standard reference for preferences and utilities.

French, Simon: Decision Theory, Ellis Horwood, New York, 1993.
Quite readable introduction to decision theory.

Fudenberg, Drew e Jean Tirole: Game Theory, MIT Press, Cambridge (MA), 1991.
Only non-cooperative games. Very rich of examples, especially in economics

Kreps, David M. [1988]: Notes on the theory of choice, Westview press, Boulder (CO).
A nice reference for decision theory

Ichiishi, Tatsuro: Game Theory for Economic Analysis, Academic Press, New York, 1983.
Mathematically oriented.

Owen, Guillermo: Game Theory, III edition, Academic Press, New York, 1995.
A good general reference. In particular for cooperative games.

Shubik, Martin: Game Theory in the Social Sciences: Concepts and Solutions, The MIT Press, Cambridge (MA), 1982.
Very intersting for applications of game theory to the social sciences.

Here you can find an annotated bibliography on Game Theory (but it is in Italian and was not updated since 1966).