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Financial engineering

Top ten books for financial engineer

posted Oct 28, 2008, 2:36 PM by Jonathan Li

在国外论坛看到这个帖子,名字叫“Top Ten Books for a Financial Engineer”,刚好最近有朋友讨论这个话题,于是转贴过来:
Top Ten Books for a Financial Engineer- -
(1) Options, Futures and Other Derivatives John C. Hull Prentice Hall
College Div; 5th edition
(2) Handbook of Fixed Income Securities Frank J. Fabozzi (editor) McGr
aw-Hill Trade; 6th edition
(3) The Complete Guide to Option Pricing Formulas Espen Gaarder Haug
(4) A Non Random Walk Down Wall Street Andrew Lo, A. Craig MacKinlay P
rinceton University Press
(5) RiskMetrics Documents:
(i) Long Run
(ii) Technical Document
(iii) Risk Management
(iv) Clear Horizon
(v) CreditMetrics
J.P. Morgan/RiskMetrics Group, Inc and The RiskMetrics
Group, Inc.
?????????,http://www.riskmetrics.com/techdoc.html
(6) The Econometrics of Financial Markets
John Y. Campbell, Andrew W. Lo (Contributor), Archie Craig
MacKinlay
Princeton Univ Press
(7) Value at Risk
Philippe Jorion
McGraw-Hill Trade
(8) Introduction to Stochastic Calculus Applied to Finance
Damien Lamberton, Nicolas Rabeau (Translator),
Francois Mantion(Translator), B. Lapeyre (Contributor)
CRC Press
(9) Derivatives: The Theory and Practice of Financial Engineering
Paul Wilmott
John Wiley & Sons
(10) Advanced Modeling in Finance Using Excel and VBA
Mary Jackson and Mike Staunton
John Wiley & Sons

个人感觉目前在国内,能把1、5、7看明白能够应付绝大多数公司了。

Great list of Reference for people interested in Financial engineering(in simplified Chinese)

posted Oct 28, 2008, 2:16 PM by Jonathan Li

forums about financial engineering
www.global-derivatives.com
www.chasedream.com
www.doostang.com
www.wilmott.com

Hedge Fund
Village.Albourne.com

Booklist 1
[ZT]金融数学的书单(转自:奇迹论坛 送交者:直愚)



  算起来从95年开始接触这个学科,到现在也有十年了,走了许许多多的弯路,也许,下面的书单,可以让对这个方向有兴趣的人走得比我更快一点....

  金融数学是一门应用性极强的学科,其特殊之处在于,与许多其他应用学科如生物相比,它的难度更类似于数学物理,而另一方面,它的应用性可以和 engineering相提并论,因为好的结果必须是"有利可图"的,you may cheat a Journal, but you cannot cheat the Market...而更加独特的是,它要求一个人有极其博杂的知识,所以一份好的书单很重要

  大体而言,所需要的知识分为三类
  1.数量
  2.经济金融
  3.编程,这方面我比较弱,至今还算不上professional programmer:)大致上来说,一个人需要吃透如下LEVEL的书籍:
  1.Thinking in C++ Vol 1 & 2
  2.The C++ Programming Language
  另外,还需要data structure & alogrithms的知识
  好在编程高手尽多,这方面也不太需要我业余的意见,呵呵

  现在我列一下数量方面的书单
  1.概率论

  很不幸的事实是,概率论基本上没有好的中文教材(1998之前,之后我就不清楚了)

  Ross的书适合本科和硕士生,胜在例子详尽
  Billingsley的概率论和弱收敛的两本教材是非常好的入门书
  chung的概率论教材很严格,读起干巴巴的来会有点累,不过是真长工夫的密籍
  Durrett的书很流行,不过里面的小错误很多
  如果你真的想理解概率论,feller的两本书是不可不读的,可以说,从高中水平到博士以上学位的读者,都会从中获益---如果要推选概率论里面最有影响的教材,feller的书无可比拟,不过读时要一路自己算,feller书里面错误非常多,虽然都显然是笔误
  Breiman的书也是经典,概率味比chung的浓
  loeve的书可以作为工具书使用

  2.随机分析
  黄志远的随机分析入门是一本很好的书
  严加安的鞅论可以做工具书用
  Ross的Inrto to probability model可以做本科生随机过程入门,例子很多
  Karlin & Taylor的两本书非常适合硕士生用
  resnick的几本书概率味很不错,应用性也很强
  oksendal的书是SDE里面最简单的
  Karatzas Shreve有好几本书,金融数学的博士不可不读
  Revuz Yor的连续鞅是很好的书
  Protter的书是严格随机分析里面最容易读的,文笔很好
  williams的书深入浅出,入门很合适
  Chung Williams的书比oksendal稍微难一点,作为应用随机分析的标准教材很不错

  3-控制论

  控制论在portfolio selection problem和risk management里面有很多的应用,optimal stopping在美式derivative非常重要
  金融数学里面用的主要是随机控制,和粘性解(因为operator is often degenerate)

  经典的随机控制书是

  1.FLEMING and RISHEL, (1975) Deterministic and Stochastic Optimal Control.
  2.KRYLOV, (1980) Controlled diffusion processes
  3.BORKAR, (1989) Optimal control of diffusion processes.
  4.BENSOUSSAN and LIONS, (1982) Controle Impulsionnel et Inequations Variationnelles

  粘性解的标准文献是
  1. Crandall, Ishii and Lions, User's guide to viscosity solutions of second order partial differential equations, Bull. Amer. Math. Soc. 27 (1992),
  2.Fleming and Soner, Controlled Markov Processes and Viscosity Solutions, 1992.

  4.数值算法

  首先,finite difference是极其常用的算法,这方面书籍很多,比如Ames的经典教材
  计算矩阵: Golub and Van Loan, Matrix Computations, 1996
  Kushner and Dupuis, Numerical Methods for Stochastic Control Problems in Continuous Time, 1992. Kushner's Markov chain approximation method是控制论里最有用的算法
  ROGERS and TALAY, Numerical Methods in Financial Mathematics. 1997.论文集
  Kloeden and Platen, Numerical Solution of Stochastic Differential Equations, 1997. 偏理论,实用性差一点
  Glasserman, Monte Carlo Methods in Financial Engineering, 2003这本书非常非常实用,可以说是金融数学数值算法的最新经典

  5-时间序列
  当然,学习时间序列之前,统计特别是多变量统计要先学好:)

  A Guide to Econometrics: by Peter Kennedy可能是最通俗易懂的入门书
  Econometric Analysis,by William H. Greene和Time Series Analysis by James Douglas Hamilton是非常标准的教材,许多学校都在用
  Box Jerkins的Time Series Analysis: Forecasting & Control,当之无愧的经典
  Time Series and Dynamic Models by Christian Gourieroux,Gourieroux写了许多书,但似乎他的书不如他的研究文章水准高
  The Econometrics of Financial Markets,by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay,新经典

  现在我们来看一下经济金融方面的书单

  首先要强调,金融不是经济,经济考虑的是国计民生,环球宇宙之类的大问题,而金融考虑的是money making, risk control之类的充满铜臭味的小问题

  当然,经济背景也是需要的,比如说
  Varian: Microeconomic Analysis(1992)
  Samuelson: Economics
  如果有时间,最有价值的书大概是Keynes的general principle,
  看的时候的感觉会跟第一次学微积分差不多:)

  现在我们进入金融书单
  1.理论金融

  Merton: Continuous time finance
  Huang Litzenberger: Foundation for financial economics
  Ingersoll: Theorey of financial decision making
  Ross: Neoclassical Finance
  Ross, Westerfield, Jaffe: Corporate Finance
  Duffie: security market
  Duffie: Dynamic Asset Pricing Theory
  当然,金融文献浩如烟海,上面的书单是针对ASSET PRICING一块的,因为这一块最为定量化.至于做underwriting, M&A,一般不是很需要数量出身的人,至少到目前为止:)

  2.入门和综合类

  然后就要开始看一些实际的入门书了
  Hull, Options, Futures and Other Derivatives
  Baxter and Rennie, Financial Calculus
  Shreve:Stochastic Calculus Models for Finance vol 1 & 2
  Wilmott: quantitative finance
  然后
  Bjork: Arbitrage theory in continuous time
  Cvitanic, Zapatero: Introduction to the economics and mathematics of financial markets
  Elliott, Kopp: Mathematics of Financial markets
  Karatzas Shreve: Method of math finance
  Musiela and Rutkowski: martingale method for finance
  Bielecki, Rutkowski: Credit Risk : Modeling , Valuation and Hedging
  Duffie Singleton: Credit Risk
  Amman: Credit risk valuation
  Taleb:Dynamic Hedging

  3. Fixed income
  Tuckman: Fixed Income Securities: Tools for Today's Markets是入门的最佳选择

  然后,就不得不面对Fabozzi的无数厚书乐:)
  Fixed Income Mathematics
  Fixed Income Securities
  Bond Markets : Analysis and Strategies
  The Handbook of Fixed Income Securities,
  Handbook of Mortgage Backed Securities
  Collateralized Debt Obligations: Structures and Analysis
  Interest Rate, Term Structure, and Valuation Modeling

  Jessica James, Nick Webber Interest Rate Modelling: Financial Engineering,这本书乱而全
  Brigo, Mercurio:Interest Rate Models 数学上难一些
  Tavakoli: Collateralized Debt Obligations and Structured Finance
  Tavakoli: Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications
  Hayre: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities

  4:其他类
  Rebonato有几本很好的书:
  Volatility and Correlation : The Perfect Hedger and the Fox
  Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond
  Interest-Rate Option Models : Understanding, Analysing and Using Models for Exotic Interest-Rate Options

  Schönbucher:Credit Derivatives Pricing Models: Model, Pricing and Implementation写得很乱但是无可替代
  GENCAY: An Introduction to High-Frequency Finance第一本关于high frequency的书
  O'Hara:Market Microstructure Theory
  Harris:Trading and Exchanges: Market Microstructure for Practitioners

Booklist 2

发信人: inutero (Game Over), 信区: FE
标  题: 矿工常读的十本书(zz)
发信站: 水木社区 (Tue Apr 29 15:28:20 2008), 站内

在国外论坛看到这个帖子,名字叫"Top Ten Books for a Financial Engineer",刚好最近有朋友讨论这个话题,
于是转贴过来:
Top Ten Books for a Financial Engineer- -
(1) Options, Futures and Other Derivatives John C. Hull Prentice Hall
College Div; 5th edition
(2) Handbook of Fixed Income Securities Frank J. Fabozzi (editor) McGr
aw-Hill Trade; 6th edition
(3) The Complete Guide to Option Pricing Formulas Espen Gaarder Haug
(4) A Non Random Walk Down Wall Street Andrew Lo, A. Craig MacKinlay P
rinceton University Press
(5) RiskMetrics Documents:
(i) Long Run
(ii) Technical Document
(iii) Risk Management
(iv) Clear Horizon
(v) CreditMetrics
J.P. Morgan/RiskMetrics Group, Inc and The RiskMetrics
Group, Inc.
?????????,http://www.riskmetrics.com/techdoc.html
(6) The Econometrics of Financial Markets
John Y. Campbell, Andrew W. Lo (Contributor), Archie Craig
MacKinlay
Princeton Univ Press
(7) Value at Risk
Philippe Jorion
McGraw-Hill Trade
(8) Introduction to Stochastic Calculus Applied to Finance
Damien Lamberton, Nicolas Rabeau (Translator),
Francois Mantion(Translator), B. Lapeyre (Contributor)
CRC Press
(9) Derivatives: The Theory and Practice of Financial Engineering
Paul Wilmott
John Wiley & Sons
(10) Advanced Modeling in Finance Using Excel and VBA
Mary Jackson and Mike Staunton
John Wiley & Sons

个人感觉目前在国内,能把1、5、7看明白能够应付绝大多数公司了。

Booklist 3

标  题: 贴份Wilmott给的书单(zz)
发信站: 水木社区 (Tue Apr 29 15:35:09 2008), 站内

一份书单 (wilmott)

贴一个关于金融数学图书的目录,这个list转自 Wilmott,一个关于Quantitative
Finance的论坛,其目的在于为自学者提供一个指导,按难度排序。

0.0 First steps -- General:
A. Black Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbu
C. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska
 (经济科学 中译本)

0.1 First steps -- Interest rates:
A. Fixed Income Analytics, K Garbade

0.3 First steps -- Stochastic Calculus:

A. An Introduction to the Mathematics of Financial Deivatives, S N Neftci
.

0.5. First steps -- Honourable mention:
A. Option Market Making: Trading and Risk Analysis for the Financial and
Commodity Option Markets, A J Baird

=========================================================================
=============

1.0. Introductory -- General:
A. Options Markets, J C Cox, M Rubinstein (清华 影印本)
B. Options, Futures, and Other Derivatives, J C Hull (清华 影印本)
C. An Introduction to Mathematical Finance: Options and Other Topics, S M
 Ross
D. Paul Wilmott Introduces Quantitative Finance, P Wilmott.
E. The Mathematics of Financial Derivatives: A Student Introduction, P Wilmott
, S Howison, J Dewynne

1.1 Introductory -- Interest rates:

A. Modelling Fixed Income Securities and Interest Rate Options, R A Jarrow


1.2 Introductory -- Exotics:
A. Structured Equity Derivatives: The Definitive Guide to Exotic Options
and Structured Notes, H M Kat

1.3 Introductory -- Stochastic Calculus:
A. Elementary Stochastic Calculus With Finance in View, T Mikosch.

1.4 Introductory -- Computational:
A. Pricing Derivative Securities: An Interactive, Dynamic Environment with
 Maple V and Matlab, E Z Prisman

1.5 Introductory -- Honourable mention:
A. Investment Under Uncertainty, A K Dixit, R S Pindyck (中译本)
B. The Complete Guide to Option Pricing Formulas, E G Haug
C. Real Options: Managerial Flexibility and Strategy in Resource Allocation
, L Trigeorgis

=========================================================================
=============

2.0 Halfway technical -- General:
A. Quantitative Modeling of Derivative Securities From Theory To Practice
, M Avellaneda, P Laurence
B. Financial Calculus : An Introduction to Derivative Pricing, M Baxter,
A Rennie
C. Arbitrage Theory in Continuous Time, T Bjork
D. Theory of Financial Decision Making, J E Ingersoll
E. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives,
R Kiesel, N H Bingham
F. Mathematical Models of Financial Derivatives, Y K Kwok
G. Continuous-Time Finance, R C Merton (人大 中译本)
H. Paul Wilmott on Quantitative Finance, 2 Volume Set, P Wilmott.

2.2. Halfway technical -- Stochastic Calculus:
A. Introduction to Stochastic Calculus with Applications, F C Klebaner

2.4. Halfway technical -- Computational:
A. Implementing Derivatives Models, L Clewlow, Chr Strickland
B. Pricing Financial Instruments: The Finite Difference Method, D Tavella
, C Randall

2.5. Halfway technical -- Honourable mention:
A. The Treasury Bond Basis, G D Burghardt, T M Belton, M Lane, J Papa.
B. Dynamic Hedging, N Taleb.

=========================================================================
=============

3.0 Technical -- General:A. Options, Futures and Exotic Derivatives, E Briys
, M Bellalah, H M Mai, F de Varenne
B. Modelling And Hedging Equity Derivatives, O Brockhaus, A Ferraris, Ch
Gallus, D Long, R Martin, M Overhaus
C. Dynamic Asset Pricing Theory, D Duffie
D. Derivatives in Financial Markets With Stochastic Volatility, J-P Fouque
, G Papanicolaou, K R Sircar
E. Mathematics of Financial Markets, P E Kopp, R J Elliott
F. Option Pricing and Portfolio Optimization: Modern Methods of Financial
 Mathematics, R Korn, E Korn
F. Introduction to Stochastic Calculus Applied to Finance, D Lamberton, B
 Lapeyre, N Rabeau
G. Martingale Methods in Financial Modelling, M Musiela, M Rutkowski
H. Pricing and Hedging of Derivative Securities, L T Nielsen
I. Essentials of Stochastic Finance: Facts, Models, Theory, A N Shiryaev

3.1 Technical -- Interest rates:
A. Interest Rate Models Theory and Practice: Theory and Practice, D Brigo
, Fabio Mercurio
B. Efficient Methods for Valuing Interest Rate Derivatives, A Pelsser
C. Interest-Rate Option Models: Understanding, Analyzing and Using Models
 for Exotic Interest-Rate Options, R Rebonato
D. Interest Rate Modelling: Financial Engineering, N Webber, J James

3.2 Technical -- Stochastic Calculus:
A. Brownian Motion and Stochastic Calculus, I Karatzas, S E Shreve
B. Stochastic Differential Equations, B Oksendal (以前世界图书有过影印本

C. Stochastic Calculus and Financial Applications, J M Steele

3.5 Technical -- Honourable mention:
A. Optimal Portfolios, R Korn
B. Option Valuation under Stochastic Volatility, A L Lewis


=========================================================================
=============

4.0 Hard core -- General:
A. Security Markets: Stochastic Models, D Duffie
B. Financial Derivatives in Theory and Practice, P J Hunt, J Kennedy
C. Introduction to Option Pricing Theory, R L Karandikar, G Kallianpur
D. Methods of Mathematical Finance, I Karatzas, S E Shreve

4.3 Hard core -- Stochastic Calculus:
A. Continuous Martingales and Brownian Motion, D Revuz, M Yor
B. Diffusions, Markov Processes, and Martingales (two volumes), L C G Rogers
, D Williams

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