Financial engineering
Top ten books for financial engineer
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)
forums about financial engineering
www.global-derivatives.com www.chasedream.com www.doostang.com www.wilmott.com Hedge Fund Village.Albourne.com Booklist 1
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....
Booklist 2 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 |