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[ZT]贴份Wilmott给的书单

本文发表在 rolia.net 枫下论坛贴份Wilmott给的书单
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更多精彩文章及讨论,请光临枫下论坛 rolia.net
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Replies, comments and Discussions:

  • [ZT] 金融数学书籍
    • [ZT]贴份Wilmott给的书单
      本文发表在 rolia.net 枫下论坛贴份Wilmott给的书单
      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更多精彩文章及讨论,请光临枫下论坛 rolia.net
      • Another list
        • mark - read it later
          • I heard "Financial Calculus--Martin Baxter& Rennie" and "Concepts and practice of Mathematical Finance--Mark Joshi" are good books to start beyond hull's if you are not math/physics major.
            • mark
              • quant 在加拿大市场不大,美国的市场也已经不行了。
                • Sounded terrible.