金融、统计类经典必读书目集合

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

1.        A Course in Financial Calculus

by Alison Etheridge

This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

A Course in Financial Calculus.rar (1.2 MB, 需要: 5 个论坛币) 本附件包括：

• A Course in Financial Calculus.pdf

2016-7-26 08:49:16 上传

需要: 5 个论坛币  [购买]

2.        An Introduction in DiscreteTime

Editor-in-Chief: Marjorie Senechal

The Mathematical Intelligencer publishes articles about mathematics, about mathematicians, and about the history and culture of mathematics. Written in an engaging, informal style,* our pages inform and entertain a broad audience of mathematicians and the wider intellectual community.

We welcome expository articles on all kinds of mathematics, and articles that portray the diversity of mathematical communities and mathematical thought, emergent mathematical communities around the world, new interdisciplinary trends, and relations between mathematics and other areas of culture. Humor is welcome, as are puzzles, poetry, fiction, and art.

An Introduction in Discrete Time.rar (2.36 MB, 需要: 5 个论坛币) 本附件包括：

• An Introduction in Discrete Time.pdf

2016-7-26 08:49:18 上传

需要: 5 个论坛币  [购买]

3.        Elementary Probability Theory

作者: Kai Lai Chung / Farid Aitsahlia

This book provides an introduction to probability theory and its applications. The emphasis is on essential probabilistic reasoning, which is illustrated with a large number of samples. The fourth edition adds material related to mathematical finance as well as expansions on stable laws and martingales. From the reviews: "Almost thirty years after its first edition, this charming book continues to be an excellent text for teaching and for self study." -- STATISTICAL PAPERS

Elementary Probability Theory.rar (4.94 MB, 需要: 5 个论坛币) 本附件包括：

• Elementary Probability Theory.pdf

2016-7-26 08:49:20 上传

需要: 5 个论坛币  [购买]

4.        Interest Rate Models-Theory andPractice

by Damiano Brigo  (Author), Fabio Mercurio (Author)

"The text is no doubt my favorite on the subject of interest rate modeling. It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical (finance) background with expert practice knowledge (they both work in a bank) contributes hugely to its format. I also admire the style of writing: at the same time concise and pedagogically fresh. The authors’ applied background allows for numerous comments on why certain models have (or have not) made it in practice. The theory is interwoven with detailed numerical examples…For those who have a sufficiently strong mathematical background, this book is a must."

Interest Rate Models-Theory and Practice.rar (6.07 MB, 需要: 5 个论坛币) 本附件包括：

• Interest Rate Models-Theory and Practice.pdf

2016-7-26 08:49:22 上传

需要: 5 个论坛币  [购买]

5.        Introduction To StochasticCalculus With Applications

By (author): Fima C Klebaner (Monash University, Australia)
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.

Introduction To Stochastic Calculus With Applications.rar (2.53 MB, 需要: 5 个论坛币) 本附件包括：

• Introduction To Stochastic Calculus With Applications.pdf

2016-7-26 08:49:24 上传

需要: 5 个论坛币  [购买]

6.        Introduction to StochasticIntegration

Authors: Kuo, Hui-Hsiung

The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Ito constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infinitesimal generators. Moreover, the properties of these diffusion processes can be derived from the stochastic integral equations and the Ito formula.

Introduction to Stochastic Integration.rar (1.47 MB, 需要: 5 个论坛币) 本附件包括：

• Introduction to Stochastic Integration.pdf

2016-7-26 08:49:27 上传

需要: 5 个论坛币  [购买]

7.        Investment Science

作者: David G. Luenberger

Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how they can be used in actual investment practice. The book also examines where the field might be headed in the future, and goes much further in terms of mathematical content, featuring varying levels of mathematical sophistication throughout. End-of-chapter exercises are also included to help individuals get a better grasp on investment science.

Investment Science.rar (6.99 MB, 需要: 5 个论坛币) 本附件包括：

• Investment Science.pdf

2016-7-26 08:49:30 上传

需要: 5 个论坛币  [购买]

8.        Martingale Methods in FinancialModelling

作者: Marek Musiela / Marek Rutkowski

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. Applications to the valuation and hedging of American-style and game options are presented in some detail. The theme of stochastic volatility also reappears systematically in the second part of the book.

Martingale Methods in Financial Modelling.rar (3.96 MB, 需要: 5 个论坛币) 本附件包括：

• Martingale Methods in Financial Modelling.pdf

2016-7-26 08:49:32 上传

需要: 5 个论坛币  [购买]

9.        Mathematical Modeling andMethods of Option Pricing

by Lishang Jiang  (Author)

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black–Scholes–Merton’s option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

Mathematical Modeling and Methods of Option Pricing.rar (8.01 MB, 需要: 5 个论坛币) 本附件包括：

• Mathematical Modeling and Methods of Option Pricing.pdf

2016-7-26 08:49:36 上传

需要: 5 个论坛币  [购买]

10.    Probability Essentials

Jacod J., Protter P

This introduction can be used, at the beginning graduate level, for a one-semester course on probability theory or for self-direction without benefit of a formal course; the measure theory needed is developed in the text. It will also be useful for students and teachers in related areas such as finance theory, electrical engineering, and operations research. The text covers the essentials in a directed and lean way with 28 short chapters, and assumes only an undergraduate background in mathematics. Readers are taken right up to a knowledge of the basics of Martingale Theory, and the interested student will be ready to continue with the study of more advanced topics, such as Brownian Motion and Ito Calculus, or Statistical Inference.

Probability Essentials.rar (12.4 MB, 需要: 5 个论坛币) 本附件包括：

• Probability Essentials.pdf

2016-7-26 08:49:41 上传

需要: 5 个论坛币  [购买]

11.    Probability With Martingales

作者:        David Williams

This is a masterly introduction to the modern and rigorous theory of probability. The author adopts the martingale theory as his main theme and moves at a lively pace through the subject's rigorous foundations. Measure theory is introduced and then immediately exploited by being applied to real probability theory. Classical results, such as Kolmogorov's Strong Law of Large Numbers and Three-Series Theorem are proved by martingale techniques. A proof of the Central Limit Theorem is also given. The author's style is entertaining and inimitable with pedagogy to the fore. Exercises play a vital role; there is a full quota of interesting and challenging problems, some with hints.

Probability With Martingales.rar (6.28 MB, 需要: 5 个论坛币) 本附件包括：

• Probability With Martingales.pdf

2016-7-26 08:49:44 上传

需要: 5 个论坛币  [购买]

12.    Solution of A Course inFinancial Calculus

Solution of A Course in Financial Calculus.rar (96.59 KB, 需要: 5 个论坛币) 本附件包括：

• Solution of A Course in Financial Calculus.pdf

2016-7-26 08:49:44 上传

需要: 5 个论坛币  [购买]

13.    Stochastic Calculus andFinancial Applications

Stochastic Calculus and Financial Applications.rar (14.28 MB, 需要: 5 个论坛币) 本附件包括：

• Stochastic Calculus and Financial Applications.pdf

2016-7-26 08:49:49 上传

需要: 5 个论坛币  [购买]

14.    Stochastic Calculus for Financei&ii

Stochastic Calculus for Finance i&ii.rar (6.14 MB, 需要: 5 个论坛币) 本附件包括：

• Stochastic Calculus for Finance i&ii.pdf

2016-7-26 08:49:52 上传

需要: 5 个论坛币  [购买]

15.    Stochastic Differential Equations

Stochastic Differential Equations.rar (8.95 MB, 需要: 5 个论坛币) 本附件包括：

• Stochastic Differential Equations.pdf

2016-7-26 08:49:55 上传

需要: 5 个论坛币  [购买]

16.    Term Structure Models: AGraduate Course

Term Structure Models_A Graduate Course.rar (2.37 MB, 需要: 5 个论坛币) 本附件包括：

• Term Structure Models_A Graduate Course.pdf

2016-7-26 08:49:57 上传

需要: 5 个论坛币  [购买]

17.    Theory of Financial Risk andDerivative Pricing

Theory of Financial Risk and Derivative Pricing.rar (35.27 MB, 需要: 5 个论坛币) 本附件包括：

• Theory of Financial Risk and Derivative Pricing.pdf

2016-7-26 08:50:09 上传

需要: 5 个论坛币  [购买]

18.    Time Series Analysis

Time Series Analysis.rar (24.81 MB, 需要: 5 个论坛币) 本附件包括：

• Time Series Analysis.pdf

2016-7-26 08:50:24 上传

需要: 5 个论坛币  [购买]

19.    Time series analysis and itsapplications with R examples

Time series analysis and its applications with R examples.rar (5.59 MB, 需要: 5 个论坛币) 本附件包括：

• Time series analysis and its applications with R examples.pdf

2016-7-26 08:50:16 上传

需要: 5 个论坛币  [购买]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏28 回帖

关键词：经典必读书目 经典必读 必读书目 必读书 Mathematical 统计

12.    Solution of A Course inFinancial Calculus
F Kemp
From individual level longitudinal data for two entire cohorts of medical students in UK universities, we use multilevel models to analyse the probability that an individual student will drop out of medical school. We find that academic preparedness-both in terms of previous subjects studied and levels of attainment therein-is the major influence on withdrawal by medical students. Additionally, males and more mature students are more likely to withdraw than females or younger students respectively. We find evidence that the factors influencing the decision to transfer course differ from those affecting the decision to drop out for other reasons.
  
13.    Stochastic Calculus andFinancial ApplicationsAuthors: J. Michael Steele
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. Even though the course assumes only a modest background, it moves quickly and - in the end - students can expect to have the tools that are deep enough and rich enough to be relied upon throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion. The construction of Brownian motion is given in detail, and enough material on the subtle properties of Brownian paths is developed so that the student should sense of when intuition can be trusted and when it cannot. The course then takes up the It integral and aims to provide a development that is honest and complete without being pedantic. With the It integral in hand, the course focuses more on models. Stochastic processes of importance in Finance and Economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance. The financial notion of replication is developed, and the Black-Scholes PDE is derived by three different methods. The course then introduces enough of the theory of the diffusion equation to be able to solve the Black-Scholes PDE and prove the uniqueness of the solution.
  14.    Stochastic Calculus for Financei&ii
作者: Steven Shreve
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes. This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time. Master's level students and researchers in mathematical finance and financial engineering will find this book useful.
  
15.    Stochastic Differential Equations
作者: Bernt Øksendal
This book discusses ways of solving linear programming problems graphically and analytically. Linear programming is a mathematical technique for minimizing or maximizing a linear objective function subject to a set of linear constraint. The technique of linear programming is not unlike the two-variable factor case found in the theory of the firm. Prior to ways of graphing inequalities, it is useful to review the graphing of inequalities or equations. It is this last interpretation of graphing an equation that interests us as we consider graphing inequalities.
  
16.    Term Structure Models: AGraduate Course
  Damir Filipović
The book is the result of a series of graduate lectures, which can be clearly seen from the text. The table of contents is rather friendly and very inviting. Chapter 1 provides the reader, in just a few pages, the necessary motivation, literature and book overview. I was expecting a bit more, especially as the author does not mention any prerequisite knowledge in finance or economics. Chapter 2 goes directly into the general description of interest rates and related financial contracts, such as swaps, caps, floors, etc. This is also presented very fast; the main points and certain details are discussed, however, which should be enough for the reader to get a general grasp. For readers familiar with these financial contracts, this chapter will provide a very clean mathematical presentation of finance theory.

17.    Theory of Financial Risk andDerivative Pricing
S Denton，M Baum
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stoc...Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
  
18.    Time Series Analysis
作者: James Douglas Hamilton
The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. "Time Series Analysis" fills an important need for a textbook that integrates economic theory, econometrics, and new results. The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.

19.    Time series analysis and itsapplications with R examples

作者: Robert H. Shumway / David S. Stoffer
Time Series Analysis and Its Applications presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non-trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging or monitoring a nuclear test ban treaty. The book is designed to be useful as a text for graduate level students in the physical, biological and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. Material from the earlier 1988 Prentice-Hall text Applied Statistical Time Series Analysis has been updated by adding modern developments involving categorical time sries analysis and the spectral envelope, multivariate spectral methods, long memory series, nonlinear models, longitudinal data analysis, resampling techniques, ARCH models, stochastic volatility, wavelets and Monte Carlo Markov chain integration methods. These add to a classical coverage of time series regression, univariate and multivariate ARIMA models, spectral analysis and state-space models. The book is complemented by ofering accessibility, via the World Wide Web, to the data and an exploratory time series analysis program ASTSA for Windows that can be downloaded as Freeware. Robert H. Shumway is Professor of Statistics at the University of California, Davis. He is a Fellow of the American Statistical Association and a member of the Inernational Statistical Institute. He won the 1986 American Statistical Association Award for Outstanding Statistical Application and the 1992 Communicable Diseases Center Statistics Award; both awards were for joint papers on time series applications. He is the author of a previous 1988 Prentice-Hall text on applied time series analysis and is currenlty a Departmental Editor for the Journal of Forecasting. David S. Stoffer is Professor of Statistics at the University of Pittsburgh. He has made seminal contributions to the analysis of categorical time series and won the 1989 American Statistical Association Award for Outstanding Statistical Application in a joint paper analyzing categorical time series arising in infant sleep-state cycling. He is currently an Associate Editor of the Journal of Forecasting and has served as an Associate Editor for the Journal fo the American Statistical Association. --This text refers to an alternate Hardcover edition.

谢谢分享

全部都是英文版，留待以后再来看看，楼主提供资料分享辛苦了！

{:3_42:}

sheepyang1992 发表于 2016-7-26 09:12
12.    Solution of A Course inFinancial Calculus
F Kemp
From individual level longitudinal data fo ...

{:3_42:}

420948492 发表于 2016-8-19 21:52

什么意思？

sheepyang1992 发表于 2016-8-21 16:10
什么意思？

好资料

420948492 发表于 2016-8-22 07:33
好资料

谢谢

sheepyang1992 发表于 2016-7-26 08:52
1.        A Course in Financial Calculusby Alison EtheridgeThis text is designed for first courses i ...

谢谢分享