http://blog.sina.com.cn/s/blog_60c587990100dpvb.html
◎计量经济学
John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, and Andrew Y. Lo ,The Econometrics of Financial Markets(金融经济学简明教材,不涉及宏观金融(宏观和货币经济学),不好读,需要一定经济学和金融学基础,水平没有Duffie和Cochrane的高)
★John H. Cochrane,Asset Pricing(易读,写法现代,需要必要金融经济学基础,读后可以看懂该领域论文,想学金融数学还是读Duffie的吧)
☆Russell Davidson,Econometric Theory and Methods (讲得最清晰的中级书,比格林的好读得多,虽然没林文夫的经典)
★Darrell Duffie,Dynamic Asset Pricing Theory(连续时间动态规划,虽然易读还是最好有泛函分析、测度论、随机微积分和向量空间优化知识基础,没有Hull的好读)
★Golderberg,A Course in Econometrics
☆William H. Greene ,Econometric Analysis(中级,应用计量经济学经典,难读,重点不突出,适合做参考书)
☆Gujarati,计量经济学(初级经典,易读但有点老旧)
☆林文夫Fumio Hayashi,Econometrics(中级,理论计量经济学经典,头两章重要,要一定数学基础和良师导读,比格林书易读)
Helmut Lütkepohl,Markus Krātzig,Applied Time Series Econometrics,《应用时间序列计量经济学》
Ian Jacques,Mathematics for Economics and Business,《商务与经济数学》
B. Jerkins,Time Series Analysis:Forecasting & Control
☆Peter Kennedy, A Guide to Econometrics(绝佳初级教材,通俗易懂,不次于伍德里奇的《现代方法》)皮特,《计量经济学指南》
☆平狄克《计量经济模型与经济预测》Econometric Models and Economic Forecasts
平狄克《不确定性下的投资》
Roger Myerson, Curt Hinrichs, Probability Models for Economic Decision,《经济决策的概率模型》
★J. H. Stock, M. W. Watson, Introduction to Econometrics
A. H. Studenmund,Introductory Econometrics with Applications,《应用计量经济学》(基础性)
T. J. Watsham, K. Parramore《金融数量方法》
★Jeffrey Wooldridge,Introductory Econometrics: A Modern Approach (初级,不侧重数学推理,可自学,适合经济类专业,不适合统计专业,Kennedy的书不次于它,古扎拉底的书比它深一些)
☆Wooldridge 伍德里奇,Econometric Analysis of Cross Section and Panel Data 《横截面与面板数据的计量经济学分析》(微观计量理论的经典,Green和Hayashi两本书的补充,需要初级或中级基础,易读)
邵宇《微观金融学及其数学基础》清华社
◎金融学
Allen,Santomero,The Theory of Financial Intermediation,Journal of Banking and Finance
★《金融学》 滋维·博迪(Zvi bodie),罗伯特·莫顿(Robert Merton)
★《投资学》滋维·博迪(Zvi bodie),亚历克斯·凯恩(Alex Kane),艾伦·马库斯(Alan Marcus)Investments
Bodie,Essentials of Investments
Dubofsky,Options and Financial Futures:Valuation and Uses
Dunbar,Invent Money:The Story of Long-Term Capital Management and the Legend behind it
★Erichberger,Harper,Financial Economics
Fabozzi,Foundations of Financial Markets and Institutions
James,Webber,Interest Rate Modiling
★Jarrow,Finance Theory
★LeRoy,Werner,Principals of Financial Economics(均值方差方法)
★马杜拉《金融市场和结构》
Malkiel,A Random Walk Down Wall Street
Mayer,Money,Banking and the Economy 梅耶《货币、银行与经济》
McMillan,McMillan on Options
Mel'nikov,Financial Market-Stochastic Analysis and the Pricing of Derivative Securities
米什金《货币银行学》
Naftci,Investment Banking,and Securities Trading
Nassim,Taleb,Dynamic Hedging
Pelsser,Efficient Methods for Valuing Internet Rate Derivatives
Ritchken,Theory,Strategy and Applications
Santomero,Financial Markets,Instruments and Institutions
Saunders,Financial Institutions Management:A Modern Perspective
★《投资学》威廉·F·夏普(William F.Sharpe),戈登·J·亚历山大(Gordon J.Alexander),杰弗里·V·贝利(Jeffery V.Bailey)Investments
Shefrin,Behavioral Finance
《货币理论与政策》Carl E. Walsh
Willmott,Dewynne,Howison,The Mathematics of Financial Deribatives
Zhang,Exotic Options
公司金融
Bernstein,Capital Idea:The Improbable Origins of Modern Wall Street
Scott Besley, Eugene F. Brigham, Essentials of Managerial Finance《财务管理精要》
Richard A. Brealey, Stewart C. Myers, Principles of Corporate Finance《公司财务原理》
Brennan,The Theory of Corperate Finance
Burroughs,Helyar,Barbarians in the Gate:The Fall of RJR Nabisco
Copeland,Financial Theory and Corporate Policy
Damodaran,Applied Corporate Finance:A User's Manual
Damodaran,Corporate Finance:Theory and Practice
Emery,Finnerty,Corporate Financial Management
☆《公司理财》斯蒂芬·A.罗斯(Stephen A.Ross),罗德尔福W.威斯特菲尔德(Radolph W.Wdsterfield),杰弗利F.杰富(Jeffrey F.Jaffe)
☆《公司金融理论》让·梯若尔(Jean Tirole)
Valuation:Measuring and Managing the Value of Companies
1.理论金融
资产定价:
★Duffie,Futures Markets(远期合约和期货合约)
Duffie: security market
★《金融经济学基础》黄奇辅(Chi-fu Huang),罗伯特·鲍勃·李兹森伯格(Robert H. Litzenberger)Foundation for financial economics
★Ingersoll: Theorey of financial decision making
Ross: Neoclassical Finance
2.数量金融
Amman: Credit risk valuation
★Baxter M., Rennie A., Financial Calculus : An Introduction to Derivative Pricing(金融工程必读书,循序渐进地介绍随机微积分,金融偏微分方程还是看Willmott吧,侧重理论,仅需基本的微积分和概率论基础)《金融数学衍生产品定价导论》
Bielecki, Rutkowski: Credit Risk : Modeling , Valuation and Hedging
★Tomas Bjork: Arbitrage theory in continuous time(Hull的后续中级书,连续时间、期权定价)
Cvitanic, Zapatero: Introduction to the economics and mathematics of financial markets
★Dana,Jeanblanc,Financial Markets in Continuous Time(连续时间)
Duffie Singleton: Credit Risk
★Elliott, Kopp: Mathematics of Financial markets
★Fouque,Papanicolau,Derivatives in Financial Markets with Stochastic Volatility(随机波动率)
★Gourieroux,ARCH Models and Financial Applications(ARCH模型和GARCH模型)
★Harris:Trading and Exchanges: Market Microstructure for Practitioners(详述不同类型证券交易)
★Options, Futures, and Other Derivatives《期权、期货和其他衍生品》约翰·赫尔(John C.Hull) (衍生品和数理金融初级经典教材,期货和期权市场组织、远期合约和期货合约、期权定价、期权交易)
Hull,J. C.,Risk Management and Financial Insititutions《风险管理与金融机构》
★Karatzas Shreve: Methods of mathematical finance(美式期权、随机微分、连续时间动态规划、鞅、连续时间模型高级教材)
☆Lawrence G. McMillan,Options as a Strategic Investment
Rrederic S. Mishkin, Financial Markets and Institutions《金融市场与金融机构》
★米什金《货币银行和金融市场经济学》
★Nelken,Pricing,Hedging,and Trading Exotic Options(奇异期权)
☆Sheldon Natenberg,Option Volatility & Pricing: Advanced Trading Strategies and Techniques
Edgar A. Norton,Introduction to Finance:Markets,Investments and Financial Management《金融学导论:市场、投资与财务管理》
★Lewis,Option Valuation under Stochastic Volatility:with Mathemetical Code(随机波动率)
☆《金融工程原理》 萨利赫.内福斯(Salih N.Neftci)
Peter Rose, Sylvia C. Hudgins, Commercial Bank Management《商业银行管理》
Peter S. Rose, Money and Capital Markets《金融市场学》
Shreve:Stochastic Calculus Models for Finance vol 1 & 2
Taleb:Dynamic Hedging
Lloyd B. Thomas, Money, Banking, and Financial Markets《货币,银行业与金融市场》
☆《金融经济学》 王江
Robert E. Whaley, Derivatives: Markets, Baluation, and Risk Management《衍生工具》
Paul Wilmott, Paul Wilmott introduces quantitative finance《金融计量经济学》
Wilmott P.: quantitative finance(利率模型)
★Wilmott P.,Derivatives:The Theory and Practice of Financial Engineering(期权定价,偏微分方程方法用得好)
3. 固定收益研究
★Bielecki,Rutkowski,Credit Risk:Modeling,Valuation and Hedging(违约风险高级教材)
★Brigo,Mercurio,Interest Rate Models:Theory and Practice(固定收益证券和利率衍生产品)
Cherubini,Copula Methods in Finance
Haung,zhang,Option Pricing Formulas
Hayre: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities Lando,Credit Risk
Lewis,Option Valuation in Stochastic vol
Lipton,Mathematical Methods for Foreign Exchange
★Martellini,Priaulet,Fixed-Income Securities:Dynamic Methods for Interest Rate Risk Pricing and Hedging(固定收益债券、利率衍生产品)
★Martellini,Priaulet Fixed-Income Securities:Valuation,Risk Management and Portfolio Strategies(固定收益债券、利率衍生产品)
Mecurio,Fabio,Interest Rate Models and Practice
★Pelsser,Efficient Methods for Valuing Interest Rate Derivatives(固定收益证券和利率衍生产品) Schonbucher,Credit Derivatives Pricing Models
★Sundaresan,Fixed Income Markets and Their Derivaties(固定收益债券、利率衍生产品)森达里桑《固定收入证券市场及其衍生产品》
Tavakoli: Collateralized Debt Obligations and Structured Finance
Tavakoli: Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications
Tuckman: Fixed Income Securities: Tools for Today's Markets
Fabozzi 系列
★Bond Markets : Analysis and Strategies(固定收益债券、利率衍生产品)
★Capital Markets,Institutions and Instruments(市场组织)
Collateralized Debt Obligations: Structures and Analysis
Fixed Income Mathematics
Fixed Income Securities
Handbook of Mortgage Backed Securities
Interest Rate, Term Structure, and Valuation Modeling
The Handbook of Fixed Income Securities,
Rebonato 系列
Volatility and Correlation : The Perfect Hedger and the Fox
Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model andBeyond
Interest-Rate Option Models : Understanding, Analysing and Using Modelsfor Exotic Interest-Rate Options