接我在另外一个版发的帖子，Paul Wilmott在数量金融(Quantitative Finance)方面的书，举世有名，但充满重复，他哪些书值得买（或者复印、打印），这就是一项各抒己见的过程了，他最有名的书，Paul Wilmott on Quantitative Finance，以前是两卷本（2000，1064页），现在是三卷（2006，1500页），手头备一份就可以了。如果还嫌贵，Paul还准备了一册Paul Wilmott Introduces Quantitative Finance（2007，722页），是上面三卷本的精简版。




Paul Wilmott on Quantitative Finance三卷本（2006，1500页）
第一卷
1. Products and Markets
2. Derivatives
3. The Random Behavior of Assets
4. Elementary Stochastic Calculus
5. The Black-Scholes Model
6. Partial Differential Equations
7. The Black-Scholes Formulae and the ‘Greeks’
8. Simple Generalizations of the Black-Scholes World
9. Early Exercise and American Options
10. Probability Density Functions and First Exit Times
11. Multi-asset Options
12. How to Delta Hedge
13. Fixed-income Products and Analysis: Yield, Duration and Convexity
14. Swaps
15. The Binomial Model
16. How Accurate is the Normal Approximation?
17. Investment Lessons from Blackjack and Gambling
18. Portfolio Management
19. Value at Risk
20. Forecasting the Markets?
21. A Trading Game
第二卷
22. An Introduction to Exotic and Path-dependent Options
23. Barrier Options
24. Strongly Path-dependent Options
25. Asian Options
26. Lookback Options
27. Derivatives and Stochastic Control
28. Miscellaneous Exotics
29. Equity and FX Term Sheets
30. One-factor Interest Rate Modeling
31. Yield Curve Fitting
32. Interest Rate Derivatives
33. Convertible Bonds
34. Mortgage-backed Securities
35. Multi-factor Interest Rate Modeling
36. Empirical Behavior of the Spot Interest Rate
37. The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models
38. Fixed Income Term Sheets
39. Value of the Firm and the Risk of Default
40. Credit Risk
41. Credit Derivatives
42. RiskMetrics and CreditMetrics
43. CrashMetrics
44. Derivatives **** Ups
第三卷
45. Financial Modeling
46. Defects in the Black-Scholes Model
47. Discrete Hedging
48. Transaction Costs
49. Overview of Volatility Modeling
50. Volatility Smiles and Surfaces
51. Stochastic Volatility
52. Uncertain Parameters
53. Empirical Analysis of Volatility
54. Stochastic Volatility and Mean-variance Analysis
55. Asymptotic Analysis of Volatility
56. Volatility Case Study: The Cliquet Option
57. Jump Diffusion
58. Crash Modeling
59. Speculating with Options
60. Static Hedging
61. The Feedback Effect of Hedging in Illiquid Markets
62. Utility Theory
63. More About American Options and Related Matters
64. Advanced Dividend Modeling
65. Serial Autocorrelation in Returns
66. Asset Allocation in Continuous Time
67. Asset Allocation Under Threat Of A Crash
68. Interest-rate Modeling Without Probabilities
69. Pricing and Optimal Hedging of Derivatives, the Non-probabilistic Model Cont’d
70. Extensions to the Non-probabilistic Interest-rate Model
71. Modeling Inflation
72. Energy Derivatives
73. Real Options
74. Life Settlements and Viaticals
75. Bonus Time
76. Overview of Numerical Methods
77. Finite-difference Methods for One-factor Models
78. Further Finite-difference Methods for One-factor Models
79. Finite-difference Methods for Two-factor Models
80. Monte Carlo Simulation and Related Methods
81. Numerical Integration and Simulation Methods
82. Finite-difference Programs
83. Monte Carlo Programs
A. All the Math You Need… and No More (An Executive Summary)