与金融有关的数学推荐书单Mathematics and finance related list.docx
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与金融有关的数学推荐书单Mathematics and finance related list.docx
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与金融有关的数学推荐书单Mathematicsandfinancerelatedlist
与金融有关的数学推荐书单(Mathematicsandfinancerelatedlist)
Mathematicsandfinancerelatedlist
"FuturesOptionsandotherderivatives--byJohnHull"
CongrecommendedthisbookNeedlesstosay,buyit.Whetheryou'relookingforajoboraseniorquant,youuseit.
JohnHullisalsoverypowerful,inallaspectsofgroundbreakingresults.NowToronto,Uni.,U6,n-,O
"Arbitragetheoryincontinuoustime--byTomasBjork:
s";
Congrecommended:
thisbookissuitableformath/physicsbackgroundofthetime,payattentiontothecultivationofmathematics.Ididn'tfeellikeit,butIgotachangeofheartafterbeingpraisedbymyboss...BjorkisnowinSweden,SSE.
3.,Financial,Calculus--Martin,Baxter&,Rennie:
s:
X.,S,{6,C9,}:
R
Congrecommended:
verythinbutelegantinabookin1996,isarelativelyearly,butthebookHullpar.ThefirstbookisCong.Author1isnowNomuraSecurities,London(Nomura),author2inMerrillLynch,London(ML),bothfixedincome
4.Financial,calculus,for,finance,II--Shreve
Congrecommended:
Shreve'snewbook,veryelegant,
Verycareful,verymathematical,andsuitedtomathematicalbackground,
Butrelativelythick,forentry,or3good.TheauthorisnowinCMU,NewYork.Professor.Topplayer.
4.5Martingale,methods,in,Financial,modelling--Musiela&Rutkovski
Congrecommended:
thegood,theauthorspresentBNP(BankofParis)andtheWarsawPolytechnic?
Theyaretopfigures.
Mathematicalbackground
5.,Brownian,motion,and,stochastic,calculus--Shreve&,Karasatz4
Congrecommended:
ifyouwanttosendapaperorengageinresearch,orreadthePhD,thisisamust.Butbooksaredifficultandmustbepsychologicallyprepared.Theauthor,2,isProfessorge.TheybothhaveabookI'mreading,writtenin1998,butit'sdifficult,notrecommended.
6.Stochastic,differential,equations:
....--Oksendal*
Congrecommended:
ifyouthink5isdifficult,thestudyofthis,thingswouldbealotless,butmorepractical!
WhatschoolistheauthorinNorway?
...Forgetaboutit。
7.Stochastic,integration,and,differential,equations--Protter
Congrecommended:
ifyouthink5isnotdifficult,thestudyofthis.Primer...IntheoriginalauthorPurdue,cornell.
8.Numericalanalysis---,anyauthor
Congrecommended:
ofcourseasaPhdstudent,Chrisof&MalliavinalsohaveMathematicsArbitragecalculusandotheradvancedbooks,Iwouldnotrecommend,becausethemajorityofthepeople(includingmyself...)It'stoohard...
Juniorquant:
9.Concepts,and,practice,of,Mathematical,Finance--Mark,Joshi
Congrecommended:
verysuitableforthenovicequant,isnotrecommendedforstudents.Verypractical,theauthorisverysmart.WhenIwaswritingabook,itwasinRBSlondon.
"C++designpatternsandderivativespricing--MarkJoshi"
Congrecommended:
veryimportantC++tounderstandthebasisofpeople,moreimportantistoteachyouhowtoMonteCarlo.
11.,Modeling,derivatives,in,C++,--Justin,London
Congrecommended:
infact,thisisenough,avarietyofprogrammingmodelishowtowrite,althoughthesemodeloldoh.Oneofthemostpracticalbooks!
!
TheauthorisnowintheUnitedStates,specificallywhatisnotclear,tookcountlessdegrees.
Seniorquant
14:
Effective,C++/More,effective,C++/effective,STL--Scott,Meyer
Congrecommended:
C++istooimportant!
WhatIworrymostaboutnowismyprogramming!
TheauthorisintheUnitedStates,C++'stopfigure
15.,Numerical,recipes,in,C++--William,Saul9,w
Congrecommended:
calculationmethod,itisveryimportantthatabook!
AretheauthorsinvariouslaboratoriesintheUnitedStates?
Specificaspects
Interestrate
16.Interest,rate,models,and,practice,--Mecurio&,Fabio
Congrecommended:
ratesaverygoodbookforquantreading,math.TheauthorsareinBanc,IMI,abankinItaly.
17.Modern,Pricing,of,interest,rate,derivatives--Rebonato
Congrecommended:
dangdang!
Myidolisonthestage!
ThebookI'mlookingatnowismainlyLibormarketmodel,authorofRBSLondon,atopfigure.
Equity
18&19:
Option,pricing,formulas/Exotic,options--Haug
Congrecommended:
notseen,donotsay.(shy..)TheauthorisinNewYork
20:
Creditrisk--Lando
Congrecommended:
anauthorinDenmarkbusinessschool,Iboughtthisbook.
21:
Creditderivativespricingmodels--Schonbucher
Congrecommended:
thewriterisalegend!
Veryyoung,verypowerful,andnowETH-Zurich,ETHhasalotoftopexperts...
Stochasticvolatility
22.,Option,valuation,in,stochastic,vol--Alan,Lewis
Congrecommended:
goodbook!
Alsodifficultforphysicalbackgrounds.AuthorinCalifornia
23.Volatility,and,correlation:
the,perfect,hedger,and,the,--Rebonato,fox
Congrecommended:
watching,infavorofrates,
24.,Stochastic,implied,vol--,forgettheauthor
Congrecommended:
buy,butfeelworth-.
FX
25.Mathematical,methods,for,foreign,exchange--Alex,Lipton
Congrecommended:
averydetailedbook,quantcarefully,theauthorinNewYorkCitigroup
Creditrisk
26.,Copula,methods,in,Finance,--Umberto,Cherubini.
Congrecommended:
Copulaisusedforthejointdistribution,withthegeneraltheorycanalsorequest,butcopulaintuitivelot,simplifiedalot,itissaidthatinitiallyproposedoneisaChinese,DavidLi,CitigrouporBarCaptoforgetnow.HeretomentionBarclayCapital,theestablishmentofonlyafewyears,andnowmanyaspectsoftheworld'stop,andevenlastyear'squant,of,the,yeararehishome.
NumericalMethods;,
"MonteCarlomethodsinfianncialengineering.--PaulGlasserman"
CongrecommendedinNewYork,bigbrother,isoneoftheleadingfiguresintherecentstudy,Levyprocess.Thebookwasgood,butitwasabitacademicbecauseitwaswrittenbyacademic.Quantusuallybuysanotherbook
28.,Monte,Carlo,in,finance.--Peter,Jackel
Congrecommended:
theoriginalauthoroftheRBSinLondon,nowatABNAmroinlondon.Thisbookistoopractical!
ThereshouldbeoneforMC.
29.Financial,Engineering,with,Finite,Element--,theauthorforgot
Congrecommended:
thisbookisactuallyusingthefiniteelementmethod,andfinitelikediferece,aBookclaimingtobebetter.Igotafeverandboughtone,butIhaven'tseenitsince....Sin,sin!
TheauthorisnowinGermany
FinancialMarkets
WhatarethesebooksIreadbeforeIgotobedeveryday?
....(.
30.DynamicHedging--Nassim|Taleb
Congrecommended:
thewriterisaveryexperiencedquanttrader,nowNewYork,Massachusettsteachingatthesametime.It'sabookI'mreadingsomuchnow,becauseit'slessmathematical,soit'sveryusefultolookatitbeforegoingtobed,butafterall,it'sfortrader.It'stoopractical....Pleasedon'trushtobuyit!
Thesecondeditionisabouttocomeout.
31.Fooledbyrandomness--NassimTaleb
Congrecommended:
readthisbookwillknowhowtousetherandomperspectiveoftheworld....
32.,Misbehaviour,of,financial,markets--,Mandebrot
Congrecommended:
thewriterisamathematicalstudyoftheeconomicWolfprizewonthesupermathematician!
Yalenow.Haveaspecialviewofthefinancialmarkets.Thisbookmustberead!
33.Liar''spoker--Lewis(electronicversion)
Congrecommended:
SolomonbrothersArbteamsaidbefore,wastheworld'smostpowerfulquanttrader.Thebookwillbereadbypeoplewhoworkwithtrading.
34&35.,Market,wizards,I,II---Schwager
Congrecommended:
teachyouhowtodotrader,thetraderistheoldergeneration,nowthedevelopmentofscienceandtechnology,relymoreontheModel,butagoodtraderwillhaveincommon!
36.Stochasticvolatility--Nielsen?
Congrecommended:
ThisisacollectionofessaysonstochasticVolmanypapersincome,butafterbuyingfeelloss!
Becausethepapersareeconometricsbackground,andmyresearchisnotrelated.Pleasedon'tbuyit...
Levyprocess
37.Financial,modelling,with,jump,process---Rama,Cont
Congrecommended:
theauthorisaParishitech(EcolePolytechnique)Professor,astudentintheschool.....DonimateLondonCityquantarea!
Ifyou'relookingforaquantposition,practiceFrenchfirst...
TheFrenchhavethegreatestfinancialmathematics,notonlyfinancialmathematicsoriginatedinFrance,butnowsomeofthelatestmathematicalresearchisdonebyagroupofFrenchmathematicians.Thisbookisverygood,mathematicsisabsolutelycomprehensive,anddeepenough,toomuch.
HereistheBankofFrance,BNP(BankofParis),SG(IndustrialBank),Calyon(CreditAgricole),themarketleader.Especiallythefirsttwo,inthefieldofderivatives,leadingotherbank,donotmentionGS,ML,MS,inderivativesresearch,SG'sequity,BNP'sfixedincome,leadingalotofthem.Ifyouhearthataequityderi.QuantisfromSG,hemustbeharassedbyheadhunters.
38.Levy,processes,in,finance--Wim,Shouten
Congrecommended:
thewriterisaprofessorofmathematicsatLeuvenUniversityinBelgium,recentlyveryred,becauseLevyprocessisonfire.Thisbookisveryexpensive,only193pages,Ihaven'tseenitverymuch,becauseIcan'tbeartobuyit....
General
39.My,life,as,a,quant---E.Derman.
Congrecommended:
theauthoristhefirstgenerationofquant,formerlyquantGSresearchdepartmenthead,nowthebigbrother.StochasticVolisoneofthetopplayersinthefield.Infact,itisalsoatopplayerinmanyotherfields.Thebookisgood,butnotsogood.Mainlyfromaphysicist'spointofview.
40&41.InfectiousGreed&FIASCO--FrankPartnoy
Congrecommended:
theauthorinitiallyFirstBoston,thensalesMorganStanleyinderivatives.Thebooktellsalotofderivativesmarkethowtocheatcustomers,howtoearndirtymoneything
Alsoneedtoaddis:
PaulWilmottonQuantitativeFinanceIIIpersonalfeelingthisistheverygoodenlightenment,coveredaverywideandvery,ve
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