生如夏花的日记

各种华而不实的金融书单已经泛滥了，转一朴实版吧


发信人: pkutt (爱从零开始||欢迎光临个人文集), 信区: Actuary
标  题: 金融数学的书单2(zz from 虹桥科教论坛)
发信站: 北大未名站 (2005年08月30日21:29:55 星期二), 转信

现在我们来看一下经济金融方面的书单

首先要强调,金融不是经济,经济考虑的是国计民生,环球宇宙之类的大问题,而金融考虑的
是money making, risk control之类的充满铜臭味的小问题

当然,经济背景也是需要的,比如说
Varian: Microeconomic Analysis(1992)
Samuelson: Economics
如果有时间,最有价值的书大概是Keynes的general principle,
看的时候的感觉会跟第一次学微积分差不多:)

现在我们进入金融书单
1.理论金融

Merton: Continuous time finance
Huang Litzenberger: Foundation for financial economics
Ingersoll: Theorey of financial decision making
Ross: Neoclassical Finance
Ross, Westerfield, Jaffe: Corporate Finance
Duffie: security market
Duffie: Dynamic Asset Pricing Theory
当然,金融文献浩如烟海,上面的书单是针对ASSET PRICING一块的,因为这一块最为定量化
.至于做underwriting, M&A,一般不是很需要数量出身的人,至少到目前为止:)

2.入门和综合类

然后就要开始看一些实际的入门书了
Hull, Options, Futures and Other Derivatives 
Baxter and Rennie, Financial Calculus
Shreve:Stochastic Calculus Models for Finance vol 1 & 2
Wilmott: quantitative finance
然后
Bjork: Arbitrage theory in continuous time 
Cvitanic, Zapatero: Introduction to the economics and mathematics of 
financial markets
Elliott, Kopp: Mathematics of Financial markets
Karatzas Shreve: Method of math finance
Musiela and Rutkowski: martingale method for finance
Bielecki, Rutkowski: Credit Risk : Modeling , Valuation and Hedging
Duffie Singleton: Credit Risk
Amman: Credit risk valuation
Taleb:Dynamic Hedging

3. Fixed income
Tuckman: Fixed Income Securities: Tools for Today's Markets是入门的最佳选择

然后,就不得不面对Fabozzi的无数厚书乐:)
Fixed Income Mathematics 
Fixed Income Securities 
Bond Markets : Analysis and Strategies 
The Handbook of Fixed Income Securities,
Handbook of Mortgage Backed Securities 
Collateralized Debt Obligations: Structures and Analysis 
Interest Rate, Term Structure, and Valuation Modeling 

Jessica James, Nick Webber Interest Rate Modelling: Financial Engineering,这本
书乱而全
Brigo, Mercurio:Interest Rate Models 数学上难一些
Tavakoli: Collateralized Debt Obligations and Structured Finance 
Tavakoli: Credit Derivatives & Synthetic Structures: A Guide to Instruments 
and Applications
Hayre: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed 
Securities 

4:其他类
Rebonato有几本很好的书:
Volatility and Correlation : The Perfect Hedger and the Fox 
Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and 
Beyond 
Interest-Rate Option Models : Understanding, Analysing and Using Models for 
Exotic Interest-Rate Options 

Sch?nbucher:Credit Derivatives Pricing Models: Model, Pricing and 
Implementation写得很乱但是无可替代
GENCAY: An Introduction to High-Frequency Finance第一本关于high frequency的书
O'Hara:Market Microstructure Theory 
Harris:Trading and Exchanges: Market Microstructure for Practitioners 


--
发信人: pkutt (爱从零开始||欢迎光临个人文集), 信区: Actuary
标  题: 一个关于金融数学图书的目录(zz from cenet)
发信站: 北大未名站 (2005年08月30日21:37:48 星期二), 转信

0.0 First steps -- General:
A. Black Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbull
C. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska （听
说经济科学社出了中译本，但是没看到过。）

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 （清华出了影印本）
B. Options, Futures, and Other Derivatives, J C Hull （清华有影印本）
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 （国内有中译本）
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 （听说人大要出中译本）
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

本目录由中国经济学教育科研网网友wengang推荐，以下为wengang的补充说明：

这是一个关于金融数学图书的目录，这个list转自http://www.wilmott.com，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。

该目录供各位参考，希望大家能够多多学习，真正学好金融学，希望这个list对大家有帮
助。不过我觉得还应该加上Chi-fu Huang, Robert H. Litzenberger的Foundations 
for Financial Economics