k***t
发帖数: 57 | 1 不知这个单子的面向对象是什么
大概看了看 似乎列了40来本 不知道看到哪个程度可以应付quan的面试 又或后面的
hardcore是工作后的进阶的
本人fresh phd还没毕业 大概还有一年多的时间 理工背景 统计有时用用 不知道如何
利用这个书单
谁能指点一下吧 谢了先
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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
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
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1.0. Introductory -- General:
A. Options Markets, J C Cox, M Rubinstein
B. Options, Futures, and Other Derivatives, J C Hull
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
B. The Complete Guide to Option Pricing Formulas, E G Haug
C. Real Options: Managerial Flexibility and Strategy in Resource Allocation,
L Trigeorgis
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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
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.
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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
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
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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 | m****s
发帖数: 1481 | 2 我也刚开始自学准备这个方向。刚看了hull的，算是有个大概的感性认识。然后打算看
shreve和joshi的书，同时学C++（我matlab很熟，但是貌似C++是这行的标准）
除了这个书单，你还可以看看其他几个参考书单：
1.quantnet的reading list
2.mark joshi的推荐书目
3.Brett Jiu的书里也有推荐书目
4.quantstart网站有分类推荐书目
5.quantfinancejob.com的分类推荐书目（这个网站好像很久不更新了）
我个人觉得把这几个书单综合下挑几本热门的就行了。具体也要根据自己的背景，如果
数学有不够的，还要先读点概率，随即过程，时序之类的。编程不行的还要练练C++。 | A********a
发帖数: 133 | 3 By the time u finish all the books, i thank u are old to retire. No quant
likely read all books listed here (except skim preface and intro).
Better u study a MFE or a PhD with Ms in finance. U need build a hard core
and then pick up things along the way, i.e., learn by doing. | k***t
发帖数: 57 | 4 谢谢建议
【在 A********a 的大作中提到】
: By the time u finish all the books, i thank u are old to retire. No quant
: likely read all books listed here (except skim preface and intro).
: Better u study a MFE or a PhD with Ms in finance. U need build a hard core
: and then pick up things along the way, i.e., learn by doing.
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