金融工程推荐书目，iafe推荐

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收藏 2011-01-14

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Resources : List of Books About Financial Engineering
Suggested Readings
For those who want to familiarize themselves with the field of financial engineering:
Biographies of Financial Engineers
This is a good way to get an appreciation of how financial engineering has grown and what types of work financial engineers do. These books are intended for general audiences and do not require technical background to understand:

Perry Mehrling, Fischer Black and the Revolutionary Idea of Finance
Emanuel Derman, My Life as a Quant
The two books above are respectively a biography and an autobiography of two of the "founding fathers" of financial engineering.
How I Became a Quant, edited by Barry Schachter and Richard Lindsey, is a collection of 25 autobiographical essays by leading practitioners of financial engineering
Peter Bernstein, Capital Ideas gives a history of financial engineering with emphasis on the people who created the field.
Peter Bernstein, Capital Ideas Evolvingcontinues the story of his first book by looking at some of the current issues being debated within financial engineering.

The Mathematics of Derivatives
The most widely used introduction to the field is John Hull, Options, Futures, and Other Derivatives. Other books that are often used as introductions are:

Martin Baxter & Andrew Rennie, Financial Calculus: An Introduction to Derivative Pricing
Jamil Baz and George Chacko, Financial Derivatives
Salih Neftci, Introduction to the Mathematics of Financial Derivatives
Steven Shreve, Stochastic Calculus for Finance I, Stochastic Calculus for Finance II
Paul Wilmott, Derivatives: The Theory and Practice of Financial Engineering
Paul Wilmott, Wilmott's Quantitative Finance(three volumes)

For those with more advanced mathematical backgrounds, we can also suggest:

Jan Dash, Quantitative Finance and Risk Management
J. Michael Steele, Stochastic Calculus and Financial Applications

The Mathematics of Investments and Portfolio Management
A widely used introduction to the field is David Luenberger, Investment Science. For those with more advanced mathematical backgrounds, we can also suggest:

John Cochrane, Asset Pricing
Frank Fabozzi, Sergio Focardi, & Petter Kolm, Financial Modeling of the Equity Market
Attilio Meucci, Risk and Asset Allocation

Financial Markets and Financial Institutions
Financial engineers apply their work to financial markets and institutions. If you are looking for a broad based introduction to these fields, Alex Kuznetsov,The Complete Guide to Capital Markets for Quantitative Professionals is designed to give new financial engineers this introduction. A shorter alternative, aimed at a more general audience, is Marc Levi.
Interviewing for a Job
The following books discuss in detail the process of interviewing for jobs in financial engineering, including a thorough review of the types of "brainteaser" questions often asked in these interviews and how to answer them: