经管之家首页 答疑首页 金融学 有木有人给个金融工程数学循序渐进的书单
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RTRT,能不能按照从见到容易,一层层的书单
uc_sjtu
回答于 2011/10/07 09:11
Stage 1
1.An Introduction to the Mathematics of Financial Drivatives, Neftci
2.The mathematics of Finance: Modeling and Hedging,Stampfli & Goodman
3.Paul Wilmott on Quantitative Finance (I)
4.Stochastic Calculus for Finance (I), Shreve
5.The Concepts and Practice of Mathematical Finance, Joshi
6.Financial Calculus, Baxter & Rennie
7.Options, Futures and other Derivatives, Hull
Stage 2
预备.Basic Stochastic Processes, Brezniak & Zastawniak
1. Paul Wilmott on Quantitative Finance (II,III)
2.Stochastic Calculus for Finance (II), Shreve
3.Arbitrage Theory in Continuos Time, Bjork
4.金融衍生品数学模型, 郭宇权
5.Risk-Neutral Valuation, Bingham & Kiesel
6.Stochastic Differential Equations,Oksendal

Stage 3
1.Martingale Methods in Finance
2.Dynamic Asset Pricing Theory
3.Financial Derivatives in Theory and Practice

这是我自己学这门课的计划,目前完成了前两级。感觉前两级各读懂一到两本就算过关了,读第二级以前一定要看一本测度基础上的随机过程书籍,了解一下数学概念和术语。最后一级是博士难度教材,不积累到一定程度读起来是很吃力的,我现在勉强能看懂一点。
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