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