Quantitative Finance Books

来自: 海若 (南京)
创建时间: 2008-06-02 09:38:30　

　　http://quantlib.org/books.shtml
　　
　　This is a list of books that have been proved to be useful in the education of at least some of the QuantLib developers.
　　
　　
　　It's maintained by Ferdinando Ametrano (remove NOSPAM from the email address), who was just tired to answer private messages asking for book suggestions. All omissions, errors, etc are Ferdinando's fault, but he would be glad to fix them, especially if they are pointed out using complimentary copies of the books ;-)
　　
　　 * GENERAL
　　 1. The Concepts and Practice of Mathematical Finance, by Mark S. Joshi
　　 Hardcover - (8 December, 2003)
　　 Cambridge University Press
　　 book web site
　　 2. Paul Wilmott on Quantitative Finance, by Paul Wilmott
　　 Hardcover - 1064 pages 2nd revised edition (27 April, 2000)
　　 John Wiley and Sons Ltd; ISBN: 0471874388
　　 3. Options, Futures, and Other Derivatives, by John C. Hull
　　 5th edition
　　 Prentice Hall
　　 * FINITE DIFFERENCES
　　 1. Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
　　 Hardcover (September 1993)
　　 Oxford Financial Press; ISBN: 0952208202
　　 2. Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
　　 Hardcover - 237 pages 1st edition (15 April, 2000)
　　 John Wiley & Sons; ISBN: 0471197602
　　 * MONTE CARLO
　　 1. Monte Carlo Methods in Finance, by Peter Jäckel
　　 2002
　　 John Wiley & Sons
　　 Errata available at www.jaeckel.org
　　 2. Monte Carlo, by Bruno Dupire (Editor)
　　 Paperback - 340 pages (November 1999)
　　 Risk Books; ISBN: 189933291X
　　 3. Monte Carlo Methods in Financial Engineering, by Paul Glasserman
　　 2004
　　 Springer Verlag
　　 * STOCHASTIC CALCULUS
　　 o Steven Shreve: Stochastic Calculus and Finance, by Shreve, Chalasani, Jha
　　 Available as free e-book at http://www.cs.cmu.edu/~chal/Shreve/shreve.html
　　 o An Introduction to the Mathematics of Financial Derivatives, Second Edition, by Salih Neftci
　　 Hardcover - 527 pages 2nd Ed (30 June, 2000)
　　 Academic Press; ISBN: 0125153929
　　 free solution manual available on-line
　　 * VOLATILITY
　　 1. Volatility and Correlation, by Riccardo Rebonato
　　 Hardcover - 360 pages (15 October, 1999)
　　 John Wiley and Sons Ltd; ISBN: 0471899984
　　 2. Volatility, by Robert Jarrow (Editor)
　　 Paperback - 356 pages (June 1998)
　　 Risk Books; ISBN: 1899332464
　　 * INTEREST RATE
　　 o Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio
　　 Hardcover - 500 pages (June 2001)
　　 Springer-Verlag Berlin and Heidelberg GmbH & Co. KG; ISBN: 3540417729
　　 updates available on-line http://www.damianobrigo.it/book.html
　　 o Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
　　 Hardcover (31 July, 2002)
　　 Princeton University Press; ISBN: 0691089736
　　 o Interest-Rate Option Models, by Riccardo Rebonato
　　 Hardcover - 546 pages 2nd Ed (27 March, 1998)
　　 John Wiley and Sons Ltd; ISBN: 0471979589
　　 o Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
　　 Hardcover - 1st edition (September 6, 2000)
　　 Springer Verlag
　　 o Interest Rate Modelling, by Nick Webber, Jessica James
　　 Paperback - 672 pages (5 April, 2000)
　　 John Wiley and Sons Ltd; ISBN: 0471975230
　　 * FX
　　 o Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
　　 Hardcover: 300 pages
　　 Risk Books; ISBN: 1899332375; (February 12, 2002)
　　 o Mathematical Methods For Foreign Exchange, by Alexander Lipton
　　 Paperback: 700 pages
　　 World Scientific Publishing Co., Inc.; ISBN: 9810248237; (October 15, 2001)
　　 * CREDIT
　　 o Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
　　 2003
　　 John Wiley & Sons
　　 o Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
　　 1998
　　 John Wiley & Sons
　　 * VALUE AT RISK
　　 o VAR, by various authors
　　 Paperback - 397 pages (1997)
　　 Risk Books; ISBN: 189933226X
　　 o Value at Risk, by Philippe Jorion
　　 Hardcover - 364 pages 2nd Ed (1 September, 2000)
　　 McGraw-Hill Education; ISBN: 0071355022
　　 o RiskMetrics Technical Document http://www.riskmetrics.com/techdoc.html
　　 * HANDS ON
　　 1. Implementing Derivative Models, by Les Clewlow, Chris Strickland
　　 Hardcover - 330 pages (29 April, 1998)
　　 John Wiley and Sons Ltd; ISBN: 0471966517
　　 Errata available at www.lacimagroup.com/downloads/IDM_Corrections.pdf
　　 2. The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
　　 Hardcover - 232 pages (October 1997)
　　 Irwin Professional (USA); ISBN: 0786312408
　　 * EXCEL AND FINANCE
　　 1. Advanced modelling in finance using Excel and VBA, by Mary Jackson, Mike Staunton
　　 Hardcover - 276 pages Bk&Cd-Rom (30 May, 2001)
　　 John Wiley & Sons; ISBN: 0471499226
　　 2. Financial Modelling, by Simon Benninga
　　 Hardcover - 640 pages 2nd Ed (2 October, 2000)
　　 The MIT Press; ISBN: 0262024829
　　 * EXCEL
　　 o Definitive Guide to Excel VBA, by M. Kofler
　　 Paperback - 800 pages (November 2000)
　　 Apress; ISBN: 1893115798
　　 o Excel 2002 VBA Programmer's Reference, by John Green, Stephen Bullen, Rob Bovey, Robert Rosenberg
　　 Paperback - 1000 pages (September 2001)
　　 Wrox Press Ltd; ISBN: 1861005709
　　 o Excel 2002 Power Programing with VBA, by John Walkenbach
　　 Paperback - 850 pages (2 July, 2001)
　　 Hungry Minds Inc; ISBN: 0764547992
　　 o Excel 2002 Formulas, by John Walkenbach
　　 Paperback - 831 pages (3 December, 2001)
　　 Hungry Minds Inc; ISBN: 076454800X
　　 o Microsoft Excel 2002 Visual Basic for Applications Step by Step, by Reed Jacobson
　　 Paperback - 368 pages plus Cd-Rom (12 September, 2001)
　　 Microsoft Press; ISBN: 0735613591
　　 * PROGRAMMING
　　 o The C++ Programming Language, Special Edition, by Bjarne Stroustrup
　　 Hardcover - 1040 pages Rev. Ed (11 February, 2000)
　　 Addison Wesley; ISBN: 0201700735
　　 o Thinking in C++: Introduction to Standard C++, Volume One, by Bruce Eckel
　　 Paperback - 814 pages 2nd (15 April, 2000)
　　 Prentice Hall; ISBN: 0139798099
　　 also available as free book from http://www.mindview.net/Books
　　 o Numerical Recipes in C
　　 also available on-line from http://www.nr.com/
　　 o GNU Autoconf, Automake, and Libtool
　　 also available as free book from http://sources.redhat.com/autobook/
　　 o Open Source Development with CVS, by Karl Fogel
　　 also available as free book from http://cvsbook.red-bean.com/
　　 o UML Distilled, by Martin Fowler, Kendall Scott
　　 Paperback - 224 pages 2nd Ed (30 September, 1999)
　　 Addison Wesley; ISBN: 020165783X
　　 o Design Patterns, by E. Gamma, R. Helm, R. Johnson, J. Vlissides
　　 * PYTHON
　　 o Learning Python, by Mark Lutz, David Ascher
　　 Paperback - 384 pages (26 April, 1999)
　　 O'Reilly UK; ISBN: 1565924649
　　 o Programming Python, by Mark Lutz, Guido van Rossum, Laura Lewin, Frank Willison
　　 Paperback - 1296 pages 2nd Ed (14 March, 2001)
　　 O'Reilly UK; ISBN: 0596000855
　　 o Python Essential Reference, by David Beazley
　　 Paperback - 400 pages 2nd Ed (30 June, 2001)
　　 New Riders; ISBN: 0735710910
　　 o Python Programming on Win32, by Mark Hammond, Andy Robinson
　　 Paperback - 672 pages (January 2000)
　　 O'Reilly UK; ISBN: 1565926218
　　 * NOT ENOUGH YET?
　　 o Energy Derivatives, by Les Clewlow, Chris Strickland
　　 Hardcover (August 2000)
　　 Lacima Group; ISBN: 0953889602
　　 o Hull-White on Derivatives, by John Hull, Alan White
　　 Paperback - 356 pages (June 1996)
　　 Risk Books; ISBN: 1899332456
　　 o Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
　　 Hardcover (June 1997)
　　 International Thomson Business Press; ISBN: 0412631709
　　 o Market Models, by C.O. Alexander
　　 Hardcover - 514 pages (26 September, 2001)
　　 John Wiley and Sons Ltd; ISBN: 0471899755
　　 o Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
　　 o Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
　　 Hardcover (October 1995)
　　 McGraw Hill College Div; ISBN: 0070323739
　　 o Black-Scholes and Beyond, by Neil A. Chriss
　　 Hardcover - 500 pages (30 September, 1996)
　　 Irwin Professional (USA); ISBN: 0786310251
　　 o Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander (Editor)
　　 Hardcover - 304 pages Revised Ed (12 November, 1998)
　　 John Wiley and Sons Ltd; ISBN: 0471979570
　　 o Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander
　　 Paperback - 264 pages 1 (24 October, 2001)
　　 Pearson Education; ISBN: 0273654365