金融数学?

小弟准备考金融工程（资产定价）博士，原来学经济学，窃以为实分析和泛函分析、常微分、偏微分、随机分析非常重要。

金融学中描述价格的波动是连续的但不可导，所以我们学的黎曼积分不行，必须用新的积分形式，所以实分析（测度论）和泛函分析非常重要。

推荐：《随机过程——金融资产定价之应用》，伍海华、杨德平，中国金融出版社

如果你想全面了解，

《微观金融学及其数学基础》，邵宇，清华大学出版社，很不错，是小百科全书

从国外流行的教材可以了解

Financial Mathematics and Probability References

Financial mathematics

M. Baxter, A. Rennie ``Financial Calculus. An Introduction to derivative pricing''

J. Cvitanic and F. Zapatero ``Introduction to the Economics and Mathematics of Financial Markets''

D. Duffie ``Security Markets. Stochastic models''

V. Goodman and J. Stampfli "The Mathematics of Finance: Modeling and Hedging"

J.C. Hull ``Options, Futures, and Other Derivatives''

I. Karatzas ``Lectures on the Mathematics of Finance''

I. Karatzas and S. Shreve "Methods of Mathematical Finance"

R. Korn and E. Korn ``Option Pricing and Portfolio Optimization''

D. Lamberton and B. Lapeyre ``Introduction to Stochastic Calculus Applied to Finance''

T. Mikosch ``Elementary Stochastic Calculus with Finance in View''

M. Musiela and M. Rutkowski ``Martingale Methods in Financial Modelling''

S.N. Neftci ``An Introduction to Mathematics of Financial Derivatives''

A.N. Shiriaev ``Essentials of Stochastic Finance : Facts, Models, Theory''

S. Shreve ``Stochastic Calculus for Finance'', vol I and II

P. Wilmott, S. Howison, J. Dewynne ``The Mathematics of Financial Derivatives. A Student Introduction''

D. Wong ``Generalised Optimal Stopping Problems and Financial Markets''

Undergraduate probability

Paul G. Hoel, Sidney C. Port and Charles J. Stone. ``Introduction to probability theory''

S. Karlin and H.M. Taylor ``A First Course in Stochastic Processes''

S. Karlin and H.M. Taylor ``A Second Course in Stochastic Processes''

Graduate probability

K.-L. Chung ``A course in probability theory''

R. Durrett ``Probability: theory and examples''

Stochastic analysis

R.F. Bass ``Probabilistic Techniques in Analysis''

K.L. Chung and R.J. Williams. ``Introduction to stochastic integration''

I. Karatzas and S.E. Shreve ``Brownian Motion and Stochastic Calculus''

T. Mikosch ``Elementary stochastic calculus with finance in view''

B. Øksendal ``Stochastic differential equations. An introduction with applications''

L.C.G. Rogers and D. Williams ``Diffusions, Markov Processes and Martingales, Vol. 2: Ito Calculus''

D. Williams ``Diffusions, Markov Processes and Martingales, Vol. 1: Foundations''

Shreve 的书 网上可下stochastic calculus and finance,经典之作

pliska的书

no

21楼的，你准备考那儿的金融工程博士？

牛人啊

都是牛人呀，小弟要奋起直追了

计划考上海财经大学（考偏微分）或是人大（倒向随机方程）的，有志同道合的吗？

建议大家不要先看《金融经济学十讲》这本书我看过，网上有文本，也有点难。

HULL

HULL 的书本人感觉的确经典。中译本到处可见。

S.N. Neftci ``An Introduction to Mathematics of Financial Derivatives'' 的书可以请在武汉的朋友到武大高级研究中心买到。在网上有GOOGLE 搜索FINANCIAL ENGINEERING OR FIANANCIAL MATH OR QUANTITATIVE FINANCE ，资料很丰富。

在中国厦门大学郑振龙的个人网页上

http://efinance.nease.net/FEshuo.htm提供随机微分学学习资料

Uchicago math finance

www.stau.uchiago.edu/~lalley/courses/390/

高手