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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。
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