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这些资料和书籍是我根据那个program要求的主干课程整理的，有的除了课本和参考书外，还有lecture notes. 这些notes一般就是我上课时老师用的。有些课我也没有上过，如果有notes的话就是我发信去问老师要来的，不过应该是两年前的东西了，可能有点儿旧。但我想基本的方法应该差不多，应该还是有一定的参考价值的。我就从简单的课程开始逐一介绍，大伙儿如果觉得哪一部分有用，就根据自己的需要下载好了。
1. STAT 243 Introduction to Mathematical Finance
介绍最基本的方法，应该算是最基础的课程了，比较适合入门。除了lecture notes外，还有两本课本
(1). Arbitrage in Continuous time, by Tomas Bjork, 3rd edition
(2). Mathematics of Financial Derivatives- A Student Introduction, by Wilmott
第一本是新版的，第二本是特别经典的一本书，想入门的朋友可以下来看一看。
STAT_243_Lecture Notes.rar
(1.17 MB)
Arbitrage_Theory_in_Continuous_Time_3rd_Edition.pdf
(2.57 MB)
Wilmott_The Mathematics_of_Financial_Derivatives_A_Student_Introduction.pdf
(10.34 MB)
2. STAT 240 Statistical Methods in Finance
非常popular的课程，主要几种于Finance统计方法。任课老师自己有一本书，也用在另外一门课 Statistical Methods and Models for Risk Management and Surveillance.
这里就一起发了吧
Text: The Econometrics of Financial Markets,by Campbell John
Reference: Statistical Models and Methods for Financial Markets, by Tze Leung Lai and Haipeng Xing
Syllabus_and_Text_The_Econometrics_of_Financial_Markets(with solution).rar
(6.29 MB)
本附件包括：- Syllabus.pdf
- Campbell_John_-_The_Econometrics_of_Financial_Markets.djvu
- Economics - The Econometrics of Financial Markets, A Solution Manual to.pdf
Springer_Statistical_Models_and_Methods_for_Financial_Markets.pdf
(7.88 MB)
3. STAT 310 Theory of Probability
特别tough的课，但是如果想搞一些financial engineering的research又不得不学。可能有的朋友还有些兴趣，就发在这里吧。老师的lecture notes 就已经很全面了，但我感觉全都是干货，学起来比较吃力，倒是老师列举的一些课本和参考书读起来效果好的多。
(1). lecture notes. 这是一整年概率课的lecture notes，非常全面。
(2). Real analysis and probability by Dudley, 如果想从理论高度提高自身概率水平，不可错过
(3). Probability: theory and examples by Durrett, 网上有很多第2，3版的下载，附件里是前几个月刚出的第四版
(4). Probability and Measure, by Billingsley, 3rd edition, 超经典的理论概率入门
(5). Probability with martingales, by David Williams, 特别好的入门书籍，我当初上课的时候什么都听不懂，就是拿这本书认真学了一些，慢慢的就懂一点儿了，呵呵
(6). Brownian Motion and Stochastic Calculus, by Karatzas and Shreve, 大家肯定都知道这书有多经典，板上好像贴了无数次了，我就不贴了，有兴趣的朋友搜一下就有了
(7). Brownian motion, by Peter Maorters and Yuval Peres, 讲brownian motion有用。
STAT_310_classnotes.pdf
(4.4 MB)
dudley_real_analysis_and_probability.pdf
(5.71 MB)
Probabilit_Durrett_4ed.pdf
(1.74 MB)
Probability_and_measure_3rd_Edition.rar
(4.35 MB)
本附件包括：- Probability_and_measure_3rd_Edition.djvu
Williams, Probability with martingales.rar
(4.16 MB)
本附件包括：- Williams, Probability with martingales.djvu
Brownian_Motion.pdf
(2.74 MB)
4. MATH 227 Partial Differential Equations and Diffusion Processes
这个program对数学要求比较高，一般好学校PhD level的 FE research 需要学PDE，尤其是偏numerical方面的，一般比较好的书是strauss的Partial Differential Equations: An Introduction 和 Evans 的 Partial differential equations
附件里是老师上课的lecture notes 和 strauss 的第一版，我找不到第二版的，那位如果有的话，不妨也发上来共享一下:)
(1) Lecture notes
(2) Partial Differential Equations: An Introduction, by Strauss, 1st edition (国内有卖)
MATH_227_Lecture_Notes.rar
(1005.76 KB)
partial_differential_equations_an_introduction_strauss.rar
(5.43 MB)
本附件包括：- partial_differential_equations_an_introduction_strauss.djvu
5. MATH 236 Introduction to Stochastic Differential Equations
不用说，大家都知道这是FE的必修课程，这里用的书就是 Oksendal 的 stochastic differential equations 6th edition, 国内可以买到。另外protter的书也值得一看，是不多的从semi-martingale讲的书之一，而且也不是很难。另外，如果概率背景不是很强，又不愿意花许多时间去学理论的人可以看一看Grimmett的probability and random processes，内容笔记哦啊简单，而且有保持了概率的严格性。
(1) Stochastic Differential Equations, by Oksendal, 6th edition (国内有卖)
(2) Stochastic Integration And Differential Equations, by Protter, 2nd edition (好像国内也有卖)
(3) Probability and random processes, by Grimmett and Stirzaker, 3rd Edition
Oksendal_B_Stochastic_differential_equations_an_introduction_with_applications__6ed.pdf
(10.04 MB)
Protter_Stochastic Integration_And_Differential_Equations_2ED.rar
(3.06 MB)
本附件包括：- Protter_Stochastic Integration_And_Differential_Equations_2ED.djvu
Grimmett_Stirzaker_Probability_and_random_processes_3rd_Edition.rar
(5.7 MB)
本附件包括：- Grimmett_Stirzaker_Probability_and_random_processes_3rd_Edition.djvu
6. MATH 239 Computation and Simulation in Finance
这也是核心课程，FE 里许多model都没有analytical solution,需要numerical solution, 如何能高效地得到比较准确的解恨重要。这就数Glasserman的书，一般大部分学校这个topic的课都用这本书。就我个人感觉来说，真的是一本好书，认真读了并多加实践，就能掌握大部分流行的numerical methods.
Text: Monte Carlo Methods in Financial Engineering by P. Glasserman
MATH_239_Computation_and_Simulation_in_Finance(syllabus_and_Text).rar
(12.66 MB)
本附件包括：- Math_239_Syllabus.pdf
- Monte Carlo Methods in Financial Engineering - P. Glasserman - Springer.pdf
7. MS&E 347 Credit Risk Modeling and Management
讲risk modeling的，推荐的课本主要有三本，我想认真学完一本应该就很扎实了。
(1) Credit Risk: Pricing, Measurement and Management by D. Duffie and K. Singleton
(2) Credit Risk: Theory and Applications by D. Lando
(3) An Introduction to Credit Risk Modeling by C. Bluhm, L. Overbeck and C. Wagner
MSE347-syllabus.pdf
(43.28 KB)
Credit_Risk_Pricing_Measurement_and_Management.pdf
(8.54 MB)
Credit_Risk_Modeling_Theory_and_Applications.pdf
(2.45 MB)
An_Introduction_to_Credit_Risk_Modeling.pdf
(4.98 MB)
8. STAT 220 Stochastic Control in Continuous Time
好像很少看见有学校开stochastic control 的课，但finance还是特别有用的。附件里有另外一门随机过程的lecture notes，是修STAT 220 的prerequisite，相信大部分人都应该掌握了，发上来做个参考吧。另外就是课程的lecture notes 和 推荐的课本，如果想在这个方面深入的朋友估计可能会用的到。
(1) Lecture notes for master level stochastic processes
(2) STAT 220 lecture notes
(3) Text: Applied Stochastic Control of Jump Diffusions, by Oksendal (附件是第一版，第二版我没有找到)
Background_Stochastic_processes_nnotes.pdf
(2.55 MB)
Stat220notes.pdf
(765.31 KB)
Oksendal_Applied stochastic_control_of_jump_diffusions.pdf
(2.04 MB)
9. STATS 315B Modern Applied Statistics Data Mining
介于理论和实际中的数据挖掘课程。用的课本就是经典hastie的 statistical learning theory。我在附件里附上了课程的网址，有兴趣的朋友可以上去参考一下。
Text: The Elements of Statistical Learning, by Hastie and etc. 2nd edition
STATS_315B_coursewebaddress_and_Text.rar
(7.18 MB)
本附件包括：- Course_Website.txt
- The_Elements_of_Statistical_Learning_2nd_Ed.pdf
下面几门是相关课程，不是MFM program 要求的核心课程，但是许多想读FE PhD 人都修过
10. MS&E 241 Investment Science
最最基本入门课程，许多不太quantitative 的学生都修过，的确比较简单。用的课本就是luenberger 的 “Investment Science”，我觉得特别适合一点儿背景都没有的朋友，能很快入门。
Text: Investment Science, by Luenberger, (国内有卖)
Oxford_Investment_Science_David_Luenberger.pdf
(17.35 MB)
11. MS&E 321 Stochastic System
高于一般功课PhD level 的随机过程，比较难，适合想从基础 applied stochastic processes 向上进阶的朋友。附件里有 老师的 lecture notes. 我还把老师推荐而且的确比较有用的参考书也发上来了。顺便说一句，Resnick的书的确很好，如果能学校来，基本上一般的概率随机背景就都可以了。Karlin and Taylor 的两本书特别适合一心一意要去做金融行业工作的人. Feller的两本书太经典了，适合想从理论上提高的朋友。呵呵。
1. Lecture notes
2. Adventures in Stochastic Processes, by Resnick
3. A First Course in Stochastic Processes, by Karlin and Taylor，2nd edition
4. A Second Course in Stochastic Processes, by Karlin and Taylor
5. An introduction to probability theory by Feller Vol. 1 and Vol. 2
6. Theory and applications of Stochastic Processes, by Schuss
7. Stochastic Processes, by Parzen
Lecture_Notes.rar
(1.89 MB)
Resnick_Adventures_in_Stochastic_Processes.pdf
(10.98 MB)
Karlin__Taylor_A_first_course_in_stochastic_processes_2ed.rar
(4.79 MB)
本附件包括：- Karlin__Taylor_A_first_course_in_stochastic_processes_2ed.djvu
A_Second_Course_in_Stochastic_Processes_Karlin_Taylor.rar
(6.69 MB)
本附件包括：- A_Second_Course_in_Stochastic_Processes_Karlin_Taylor.djvu
feller_introduction_to_probability_theory_vol1.rar
(4.9 MB)
本附件包括：- feller_introduction_to_probability_theory_vol1.djvu
feller_an_introduction_to_probability_theory_and_its_applications_vol2.rar
(10.19 MB)
本附件包括：- feller_an_introduction_to_probability_theory_and_its_applications_vol2.djvu
Stochastic_Processes_Parzen.pdf
(30.44 MB)
Theory_and_Applications_of_Stochastic_Processes.pdf
(8.84 MB)
12. MS&E 322 Stochastic Calculus and Control
介于应用和理论之间的 Stochastic Calculus, 需要先修过 MS&E 321. 老师花了不少力气讲control。
(1) Lecture notes
(2) Text: Stochastic Calculus and Financial Applications, by Steele
Lecture Notes.rar
(7.01 MB)
Steele_Stochastic_Calculus_and_Financial_Applications.rar
(1.3 MB)
本附件包括：- Steele_Stochastic_Calculus_and_Financial_Applications.djvu
其他相关资源。
13. Asset Pricing theory
附件里有三本书，都很经典，其中duffie的书在国内可以买到
(1) Asset Pricing, by Cochrane, revised edition
(2) Asset Pricing Theory by Pennacchi
(3) Dynamic Asset Pricing Theory by Duffie
Asset_Pricing_Cochrane.pdf
(3.88 MB)
Pennacchi_Asset_Pricing_Theory.rar
(5.58 MB)
Dynamic_Asset_Pricing_Theory.pdf
(19.14 MB)
14. Levy Processes
Financial modeling with levy processes 这些年很热，附件里基本上囊括了所有我能找到的资料，一些经典书籍找不到，所以没有。有兴趣的朋友可以下载
(1) Financial Modeling with Jump processes, (这是超经典的书，但附件是第一版，第二版目前我还没有找到)
(2) Introductory Lectures on Fluctuations of Levy Processes with Applications by Andreas E. Kyprianou (很好的学习levy processes的书)
(3) Levy Processes in Finance Pricing Financial Derivatives by Wim Schoutens （对各种model的review）
(4) Levy Processes and Stochastic Calculus, 2nd_Ed, by David Applebaum, 第二版比第一版好了很多
Financial_Modelling_with_Jump_Processes.rar
(4.88 MB)
本附件包括：- Financial_Modelling_with_Jump_Processes.djvu
Introductory_Lectures_on_Fluctuations_of_Levy_Processes_with_Applications.pdf
(4.34 MB)
Levy_Processes_In_Finance_Pricing_Financial_Derivatives_Wim_Schoutens.pdf
(2.16 MB)
Levy_Processes_Stochastic_Calculus_2nd_Ed.pdf
(2.69 MB)
15. Portfolio optimization
(1) Portfolio Optimization and Performance Analysis by Prigent
(2) Robust Portfolio Optimization and Management by Fabozzi and etc
Portfolio_Optimization_and_Performance_Analysis.pdf
(3.9 MB)
Robust_Portfolio_Optimization_and_Management.PDF
(6.51 MB)
16. Other general method
这些内容或许只有做FE research的人会有兴趣，一起都发到这里吧:)
(1) Advances in Mathematical Finance by Michael Fu and etc.
(2) Mathematics of Financial Markets 2nd Ed by Elliott Kopp
(3) Handbook of Finance Vol 1 Financial Markets and Instruments, Ed. Fabozzi, (没办法，只有第一卷，后面两卷实在找不到)
(4) Handbook of Operations Research and Managment Sciences, Vol 9, Finance (特别全面的参考书)
(5) Handbook of Operations Research and Managment Sciences, Vol 15, Financial Engineering (高级参考书，涵盖了大部分research 中比较 popular的方法)
(6) Interest Rate Models, Theory and Practice, 2nd ed. by Damiano Brigo and etc. (专门讲interest rate 的好书)
(7) Limit Theorems for Stochastic Processes, 2nd ed. by Jacod and Shiryaev, (Research 必备书籍)
(8) Martingale Methods in Financial Modelling, 2nd ed. by Marek Musiela and Marek Rutkowski (非常使用的一本research用书)
(9) Mathematical Methods for Financial Markets, by Monique Jeanblanc,
(10) Optimal Stopping and Free Boundary Problems, by Peskir and Shiryaev
(11) Optimization Methods in Finance, by Gerard Cornuejols and Reha Tutuncu
(12) Quantitative Finance Vol-1_3 2Nd Ed,
(13) Stochastic Optimization Models in Finance, by Ziemba and etc.
增加了一些关于credit derivative 的资料，这里发不下了，有兴趣的朋友可以去23楼下载。
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