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金融工程硕士书单Master reading list for Quants, MFE students
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gavin0011
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2011-06-11
Starting Your Career as a Quant,you should read these books.以下推荐书目,由华尔街的Quant们和美国各名牌大学毕业生推荐。
本帖隐藏的内容
FREE QUANT CAREER GUIDES
What do quant do ? A guide by Mark Joshi.
Download
Paul & Dominic's Guide to Quant Careers (see attachment)
Career in Financial Markets 2011- a guide by efinancialcareers.
Download
Interview Preparation Guide by Michael Page: Quantitative Analysis.
Download
Interview Preparation Guide by Michael Page: Quantitative Structuring.
Download
Paul & Dominic's Job Hunting in Interesting Times Second Edition (see attachment)
Peter Carr's A Practitioner's Guide to Mathematical Finance (see attachment)
GENERAL READING ON WALL STREET
Reminiscences of a Stock Operator (Wiley Investment Classics)
Working the Street: What You Need to Know About Life on Wall Street
Liar’s Poker: Rising Through the Wreckage on Wall Street
Monkey Business: Swinging Through the Wall Street Jungle
Fiasco: The Inside Story of a Wall Street Trader
Den of Thieves
When Genius Failed: The Rise and Fall of Long-Term Capital Management
Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
Goldman Sachs : The Culture of Success
The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
Wall Street: A History: From Its Beginnings to the Fall of Enron
The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
Liquidated: An Ethnography of Wall Street
Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Stree
t
CAREER AS A QUANT
My Life as a Quant: Reflections on Physics and Finance
How I Became a Quant: Insights from 25 of Wall Street’s Elite
The Big Short: Inside the Doomsday Machine
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
Nerds on Wall Street: Math, Machines and Wired Markets
Physicists on Wall Street and Other Essays on Science and Society
The Complete Guide to Capital Markets for Quantitative Professionals
Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance and Launching a Lucrative Career
BOOKS FOR QUANT INTERVIEWS
Heard on The Street: Quantitative Questions from Wall Street Job Interviews
by Timothy Crack
Quant Job Interview Questions And Answers
by Mark Joshi
Frequently Asked Questions in Quantitative Finance
by Paul Wilmott
A Practical Guide To Quantitative Finance Interviews
by Xinfeng Zhou
Basic Black-Scholes: Option Pricing and Trading
by Timothy Crack
Fifty Challenging Problems in Probability with Solutions
by Frederick Mosteller
Vault Guide to Advanced Finance & Quantitative Interviews
GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM
A Primer for the Mathematics of Financial Engineering
(+
Solutions Manual
) by Dan Stefanica
An Introduction to the Mathematics of Financial Derivatives, Second Edition
by Salih Neftci
Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)
by John Hull
Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
by Paul Wilmott
Principles of Financial Engineering, Second Edition
by Salih Neftci
Elementary Stochastic Calculus With Finance in View
by Thomas Mikosch
The Concepts and Practice of Mathematical Finance
by Mark Joshi
Financial Options: From Theory to Practice
by Stephen Figlewski
Financial Calculus : An Introduction to Derivative Pricing
by Martin Baxter
A Course in Financial Calculus
by Etheridge Alison
The Mathematics of Financial Derivatives: A Student Introduction
by Paul Wilmott
Frequently Asked Questions in Quantitative Finance
by Paul Wilmott
Derivatives Markets
by Robert L. McDonald
An Undergraduate Introduction to Financial Mathematics
by Robert Buchanan
欢迎大家也推荐一些好的书籍,一起参与Discussion in 'Recommended Reading。
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沙发
gavin0011
2011-6-11 10:01:57
PROGRAMMING
C++ (ordered by level of difficulty)
Problem Solving with C++, 7th Edition
by Walter Savitch
C++ How to Program (7th Edition)
by Harvey Deitel
Absolute C++ (4th Edition)
by Walter Savitch
Thinking in C++: Introduction to Standard C++, Volume One
by Bruce Eckel
Thinking in C++: Practical Programming, Volume Two
by Bruce Eckel
The C++ Programming Language: Special Edition
by Bjarne Stroustrup (C++ inventor)
Effective C++: 55 Specific Ways to Improve Your Programs and Designs
by Scot Myers
C++ Primer (4th Edition)
by Stanley Lippman
C++ Design Patterns and Derivatives Pricing (2nd edition)
by Mark Joshi
Financial Instrument Pricing Using C++
by Daniel Duffy
C# (ordered by level of difficulty)
C# 2010 for Programmers (4th Edition)
Computational Finance Using C and C#
by George Levy
C# in Depth, Second Edition
by Jon Skeet
F# (ordered by level of difficulty)
Programming F#: An introduction to functional language
by Chris Smith
F# for Scientists
by Jon Harrops (Microsoft Researcher)
Real World Functional Programming: With Examples in F# and C#
Expert F# 2.0
by Don Syme
Beginning F#
by Robert Pickering
Matlab (ordered by level of difficulty)
Matlab: A Practical Introduction to Programming and Problem Solving
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
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藤椅
gavin0011
2011-6-11 10:02:54
由于帖子字数超过10000,发不上去,所以在回复中把所有书籍列出来
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板凳
gavin0011
2011-6-11 10:05:09
Excel
Excel 2007 Power Programming with VBA
by John Walkenbach
Excel 2007 VBA Programmer’s Reference
Financial Modeling
by Simon Benninga
Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
Excel 2007 Formulas
by John Walkenbach
VBA
Advanced modelling in finance using Excel and VBA
by Mike Staunton
Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Python
Learning Python: Powerful Object-Oriented Programming
Python Cookbook
FINITE DIFFERENCES
Option Pricing: Mathematical Models and Computation
, by P. Wilmott, J.N. Dewynne, S.D. Howison
Pricing Financial Instruments: The Finite Difference Method
, by Domingo Tavella, Curt Randall
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
by Daniel Duffy
MONTE CARLO
Monte Carlo Methods in Finance
, by Peter Jäcke (errata available at
jaeckel.org
)
Monte Carlo Methodologies and Applications for Pricing and Risk Management
, by Bruno Dupire (Editor)
Monte Carlo Methods in Financial Engineering
, by Paul Glasserman
Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications
by Daniel J. Duffy and Joerg Kienitz
STOCHASTIC CALCULUS
Stochastic Calculus and Finance
by Steven Shreve
Stochastic Differential Equations: An Introduction with Applications
by Bernt Oksendal
VOLATILITY
Volatility and Correlation
, by Riccardo Rebonato
Volatility, by Robert Jarrow (Editor)
Volatility Trading
by Euan Sinclair
INTEREST RATE
Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio updates available on-line
Professional Area of Damiano Brigo's web site
Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
Interest-Rate Option Models, by Riccardo Rebonato
Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
Interest Rate Modelling, by Nick Webber, Jessica James
FX
Foreign Exchange Risk
, by Jurgen Hakala, Uwe Wystup
Mathematical Methods For Foreign Exchange
, by Alexander Lipton
STRUCTURED FINANCE
The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation
(Hardcover) by Sylvain Raynes and Ann Rutledge
Salomon Smith Barney Guide to MBS & ABS
, Lakhbir Hayre, Editor
Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities
by Stone & Zissu
Securitization, by Vinod Kothari
Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
Structured Finance Modeling with Object-Oriented VBA
(a bit more detailed and advanced than the step by step book)
STRUCTURED CREDIT
Collateralized Debt Obligations, by Arturo Cifuentes
An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck
RISK MANAGEMENT/VAR
VAR, by various authors
Value at Risk, by Philippe Jorion
RiskMetrics Technical Document
RiskMetrics Group
Risk and Asset Allocation by Attilio Meucci
SAS/S/S-PLUS
The Little SAS Book: A Primer, Third Edition by Lora D. Delwiche and Susan J. Slaughter
Modeling Financial Time Series with S-PLUS
Statistical Analysis of Financial Data in S-PLUS
Modern Applied Statistics with S
HANDS ON
Implementing Derivative Models, by Les Clewlow, Chris Strickland
The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
NOT ENOUGH YET?
Energy Derivatives, by Les Clewlow, Chris Strickland, 0953889602
Hull-White on Derivatives, by John Hull, Alan White 1899332456
Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor) 0412631709
Market Models, by C.O. Alexander 0471899755
Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow 0070323739
Black-Scholes and Beyond, by Neil A. Chriss 0786310251
Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander 0471979570
Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander 0273654365
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报纸
oink-oink
2011-6-11 13:14:25
提示:
作者被禁止或删除 内容自动屏蔽
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地板
分析哥
2011-6-11 13:18:40
先顶再看!!!!1
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点击查看更多内容…
7楼
suzhouquan
2011-6-11 16:30:15
好奇。。。看看
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8楼
翻嘴黑贝
2011-6-11 17:58:52
看看再说吧!
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9楼
姽婳鬼话
2011-6-11 18:33:11
唉 恨少读了书 以后要加油
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10楼
windblood
2011-6-11 22:23:43
看看吧……
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11楼
joseph0729
2011-6-11 22:43:08
好多书啊,恐怖
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12楼
87785055
2011-6-11 23:19:07
谢谢楼主分享
1#
gavin0011
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13楼
老宝
2011-6-11 23:28:32
回复一个,看看啊~~~
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14楼
zhouzhyong
2011-6-12 15:18:36
kkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkkk
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15楼
wuhui1018
2011-6-12 19:23:27
看看是什么内容
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16楼
金者融天下
2011-6-12 19:28:36
收藏了 以后慢慢来看
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17楼
hnbc1989
2011-6-12 20:28:33
kankan!!!!!!!!!
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18楼
penglz
2011-6-12 21:33:56
马上就要学这个了,很有用!
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19楼
thistle
2011-6-12 21:34:35
1#
gavin0011
take a look.
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20楼
jackymy
2011-6-12 22:01:42
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21楼
泛泛zhi辈
2011-6-12 22:53:17
感谢楼主~
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22楼
yc7166
2011-6-12 23:28:47
是什么呢?回复看看吧。
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23楼
daijunliang
2011-6-13 00:43:08
系统完整一些吧
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24楼
tcca6675
2011-6-13 08:04:32
好啊!
谢谢楼主的分享。。。
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25楼
cc457921
2011-6-13 08:08:04
顶一个!多谢楼主
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26楼
hocuser
2011-6-13 08:37:35
看看再说吧!
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27楼
swid
2011-6-13 09:14:36
金融工程?
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28楼
spenxar
2011-6-13 10:41:30
书到用时方恨少,学习学习
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29楼
yc508
2011-6-13 10:45:47
看看
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30楼
xie22391
2011-6-13 11:38:12
看看吧 呵呵呵呵呵
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