金融工程书单

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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 ynamic 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

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关键词：金融工程 fixed income introduction Underwriting Quantitative 金融工程 general control making 微积分

好书，好帖。一本一本的找来看吧。

强！！！！！！！！！！！！！

厉害呀~~~~

谢谢LZ啦~~好东东~~

读完这些书并且能够读明白，可以直接授予博士学位了，呵呵。还是选择几本好好努力吧！

把这些书都融会贯通了，那你就强拉！

读完这些书，完全可以在国内高校叱诧风云了。

agree. the majority of finance professors in China have never been trained well enough to understand ALL these books.

sungirl 发表于 2009-7-16 22:35
读完这些书，完全可以在国内高校叱诧风云了。

不错，支持楼主！