看看沃顿商学院的课程也许对大家有点帮助吧。
Course descriptions represent courses expected to be offered during the 2008-2009 academic year. While the School endeavors to offer as many of the courses as possible, not all courses are offered every semester. It is important to check with individual departments prior to scheduling classes to determine the availability of courses for any given semester.
The Wharton School and the University of Pennsylvania reserve the right to make changes affecting policies, fees, curricula, or any other matters announced here.
FNCE 911 Financial Economics
The objective of this course is to undertake a rigorous study of the theoretical foundations of modern financial economics. The course will cover the central themes of modern finance including individual investment decisions under uncertainty, stochastic dominance, mean variance theory, capital market equilibrium and asset valuation, arbitrage pricing theory, option pricing, and incomplete markets, and the potential application of these themes. Upon completion of this course, students should acquire a clear understanding of the major theoretical results concerning individuals' consumption and portfolio decisions under uncertainty and their implications for the valuation of securities.
Prerequisites: ECON 681 OR ECON 701, Matrix Algebra and Calculus.FNCE 912 Financial Institutions
This course provides students with an overview of the basic contributions in the modern theory of corporate finance and financial institutions. The course is methodology oriented in that students are required to master necessary technical tools for each topic. The topics covered may include capital structure, distribution policy, financial intermediation, incomplete financial contracting, initial and seasoned public offerings, market for corporate control, product market corporate finance interactions, corporate reorganization and bankruptcy, financing in imperfect markets, security design under adverse selection and moral hazard, and some selected topics.
Prerequisites: ECON 898, STAT 510, or FNCE 911.FNCE 921 Introduction to Empirical Methods
This course is an introduction to empirical methods commonly employed in finance. It provides the background for FNCE 934, Empirical Research in Finance. The course is organized around empirical papers with an emphasis on econometric methods. A heavy reliance will be placed on analysis of financial data.
Prerequisites: FNCE 911 (can be taken concurrently), STAT 510 and 511 or equivalent.FNCE 922 Continuous-Time Financial Economics
This course covers some advanced material on the theory of financial markets developed over the last two decades. The emphasis is on dynamic asset pricing and consumption choices in a continuous time setting. The articles discussed include many classical papers in the field as well as some of the most recent developments. The lectures will emphasize the concepts and technical tools needed to understand the articles.
Prerequisites: FNCE 911, ECON 701, ECON 703. Graduate level knowledge of analysis and statistics is highly recommended but not required.FNCE 923 Financial Economics under Imperfect Information
General equilibrium and rational expectations. Foundations of the theory of information. Learning from prices in rational expectations equilibrium models. Moral hazard, adverse selection, and signaling. Bidding theories.
Prerequisite: FNCE 922.FNCE 924 Intertemporal Macroeconomics and Finance
This is a doctoral level course on macroeconomics, with special emphasis on intertemporal choice under uncertainty and topics related to finance. Topics include: optimal consumption and saving, the stochastic growth model, q-theory of investment, (incomplete) risk sharing and asset pricing. The course will cover and apply techniques, including dynamic programming, to solve dynamic optimization problems under uncertainty. Numerical solution methods are also discussed.
Prerequisites: FNCE 911.FNCE 932 Corporate Finance
Advanced theory and empirical investigations: financial decisions of the firm, dividends, capital structure, mergers and takeovers.
Prerequisites: FNCE 911, FNCE 921, or permission of instructor.FNCE 933 International Finance
This course provides an understanding of current academic research in the areas of international finance and international macroeconomics. Students will learn the tools for conducting research in this field.
Prerequisites: FNCE 911, FNCE 922 (recommended).FNCE 934 Empirical Research in Finance
Rigorous treatment of current empirical research in finance. Applications of multivariate and nonlinear methods. Intertemporal and multifactor pricing models. Conditional distributions. Temporal dependence in asset returns.
Prerequisites: FNCE 911, FNCE 921.FNCE 937 Applied Quantitative Methods in Finance
FNCE 937 uses numerical tools to address a variety of issues in finance. The course has two main objectives. First, it seeks to provide the students with useful quantitative tools to understand and produce frontier research in finance. Second, it applies these tools to advanced topics in both corporate finance and asset pricing. A special emphasis is placed on new and recent research.FNCE 939 Behavioral Finance
There is an abundance of evidence suggesting that the standard economic paradigm – rational agents in an efficient market – does not adequately describe behavior in financial markets. In this course, we will survey the evidence and use psychology to guide alternative theories of financial markets with an eye towards identifying frontiers and opportunities for new research. Along the way, we will address the standard argument that arbitrage will eliminate any distortions caused by irrational investors. Further, we will examine more closely the preferences and trading decisions of individual investors. We will argue that their systematic biases can aggregate into observed market inefficiencies. The second half of the course extends the analysis to corporate decision making. We present the two themes of behavioral corporate finance: rational managers exploiting financial market inefficiencies and managerial decision-making biases. We then explore the evidence for both views in the context of capital structure, investment, dividend, and merger decisions. We emphasize the importance of differentiating the behavioral approach from information models and other more traditional methodology.
Prerequisites: FNCE 911.
https://bbs.pinggu.org/thread-80067-1-1.html
以前别人发的,主要是金融数学和资产定价的.其他领域比如公司金融,微观结构,行为金融等等好象版上没有人总结过
还有
入门书籍:
1.Futures, Options and other derivatives--by John Hull.(买)
聪聪推荐:这本书不用多说了,买就是了。不管是找工作还是senior quant都会用到。
John Hull 也是非常厉害的,各个方面都有开创性的成果。现在Toronto Uni.
本人看法:经典中的经典,涉猎还算广泛,不过不够数学----人称华尔街的圣经,自然不算很难。
2.Arbitrage theory in continuous time--by Tomas Bjork.(借)
聪聪推荐:这本书非常适合数学/物理背景的人读,注重数学理论的培养。本来我觉得也没什么,但是被公司老板大加赞扬后就改变看法了。。。Bjork现在瑞典SSE。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
3.Financial Calculus--Martin Baxter& Rennie(借)
聪聪推荐:非常薄但是elegant的一本书,1996年,算是比较早了,但是和Hull的那本书齐名。也是聪聪的first book。作者1现在野村证券伦敦(nomura),作者2在美林伦敦(ml),都是fixed income。
本人看法:没看过。图书馆有,但是holder之多不知道我在毕业前是否轮的到。鉴于是入门书籍,如果借不到就算了,以后有机会再补。
4.Financial calculus for finance II--Shreve(印)
聪聪推荐:Shreve的新书,非常elegant,非常仔细,非常数学完备,适合数学背景,但是比较厚,对于入门来说还是3好。作者现在CMU纽约。教授。顶尖人物。
本人看法:和 I 一起印了,因为无数人推荐。I是讲离散模型,II讲连续模型。QJ美女一直对Shreve赞赏有加,害得我也充满了对此人的幻想。
4.5 Martingale methods in Financial modelling--Musiela & Rutkovski(借)
聪聪推荐:也很好的,作者现在BNP(巴黎银行)和华沙理工?都是顶尖人物。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
数学背景
5. Brownian motion and stochastic calculus--Shreve& Karasatz
聪聪推荐:如果想在这一行发paper或者搞研究的话,或者读phd, 这是必须的。但是书比较难,要有心理准备。作者2是哥大教授。他们俩还有一本书我正在读,1998年写的,但是很难,不推荐。
本人看法:借不到。~~~><~~~~ 不过好在我不搞研究,暂时不考虑这本。
6.Stochastic differential equations:....--Oksendal(印)
聪聪推荐:如果你觉得5比较难,就读这一本,会少很多东西,但是更实用!作者在挪威什么学校。。。忘记了。
本人看法:stochastic calculus for financial math的课本,的确比较精简实用。但有些问题还是讲的不够透彻。
7.Stochastic integration and differential equations--Protter(借)
聪聪推荐:如果觉得5比较不难,就读这一本。我的导师的入门书。。。作者原来在普渡,现在康纳尔。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
8.Numerical analysis---任何作者
聪聪推荐:当然作为Phd学生,葱葱还拥有 Mathematics of Arbitrage & Malliavin calculus 等一些 advanced 书籍,我就不推荐了,因为对绝大多数人来说(包括我自己。。。)都太难了。。。
本人看法:还好我不是phd,挖哈哈哈。
Junior quant:
9.Concepts and practice of Mathematical Finance--Mark Joshi(借)
聪聪推荐:非常适合刚入行的quant,对于学生不推荐。非常实用,作者非常聪明。写书的时候在 RBS伦敦。
本人看法:hold乐,可以借来看看。
10. C++ design patterns and derivatives pricing--Mark Joshi
聪聪推荐:对于懂得C++基础的人来说很重要,更重要的是教你学会Monte Carlo。
本人看法:图书馆没有,暂时不考虑。
11. Modeling derivatives in C++ --Justin London(印)
聪聪推荐:其实这一本就够了,各种model如何编程都有写,虽然这些model比较老呵呵。最实用的一本书!!作者现在美国,具体干什么不清楚,拿了无数个学位。
本人看法:很厚的一本书,model覆盖全面。聪聪记错了书名,卡卡。
Senior quant:(我不够格!大家看看当作搞笑吧)
12&13&14: Effective C++/More effective C++/effective STL--Scott Meyer
聪聪推荐:C++太重要了!我现在最愁的就是我的编程了!作者在美国,C++的顶尖人物。
15. Numerical recipes in C++--William, Saul(电子版)
聪聪推荐:计算方法,非常重要的一本书!作者都在美国各个实验室?
本人看法:暂时都不考虑,有空再看。
各个专门方面:(这个大家就别信我了,看看再说)
Interest rate
16.Interest rate models and practice --Mecurio& Fabio
聪聪推荐:rates非常好的一本书,适合quant读,比较数学。作者都在Banc IMI,意大利的一家bank。
本人看法:借不到。~~~><~~~
17.Modern Pricing of interest rate derivatives--Rebonato(印)
聪聪推荐:当当当当!我的偶像登场了!这本书我现在看,主要是Libor market model,作者在RBS伦敦,顶尖人物。
再次说一遍,我是他的fans!
本人看法:很实用的一本书,给出了calibration的方法。
equity
18&19: Option pricing formulas / Exotic options--Haug/Zhang
聪聪推荐:没看过,也就不说了。(shy。。。)作者都在纽约
creidt
20: Credit risk--Lando
聪聪推荐:作者在丹麦一家商学院,我是买的这一本。
21: Credit derivatives pricing models--Schonbucher(印)
聪聪推荐:作者是传奇人物!非常年轻非常厉害,现在ETH-Zurich,ETH有很多顶尖专家。。。
本人看法:credit pricing的启蒙书,还是非常不错的,就是对概率的要求比较高。
stochastic volatility
22. Option valuation in stochastic vol--Alan lewis
聪聪推荐:非常厉害的一本书!也很难,适合物理背景。作者在加州
本人看法:适合物理背景的,那么我就跳过了。
23.Volatility and correlation : the perfect hedger and the fox --Rebonato(借)
聪聪推荐:正在看,比较偏向rates, 我的偶像的书当然要捧啦
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
24. Stochastic implied vol--忘记作者了
聪聪推荐:买了,但是觉得不值-。。=
本人看法:那么当然跳过了。
FX
25.Mathematical methods for foreign exchange--Alex Lipton(借)
聪聪推荐:很详细的一本书,quant必读,作者在纽约 Citigroup?
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
Credit risk
26. Copula methods in Finance --Umberto Cherubini.(借)
聪聪推荐: Copula 是用来求联合分布的,其实用一般理论也能求,但是copula直观很多,简化很多,据说最初提出人之一是个中国人, David Li,现在 Citigroup 还是 BarCap 忘记了。这里要提一下 Barclay Capital,成立才没几年,现在很多方面都是世界顶尖的了,连去年的 quant of the year 都是他家的。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
Numerical Methods;
27. Monte Carlo methods in fianncial engineering.-- Paul Glasserman(印)
聪聪推荐:作者在纽约哥大,算是顶尖人物之一了,最近在研究Levy process。这本书很好,但由于是academic 写的,有点太学术了。quant一般会买另外一本书-----
本人看法:原来印了这本,还没时间看。
28. Monte Carlo in finance.--Peter Jackel
聪聪推荐:作者原来在RBS 伦敦,现在在ABN Amro伦敦。这本书太实用了!用MC的都应该有一本。
29.Financial Engineering with Finite Element--作者忘记了
聪聪推荐:这本书是用有限元方法,其实和 finite diferece 很像,书里面自称会更好。当初头脑发热买了一本,之后没看过。。。。罪过啊罪过!作者现在在德国。
本人看法:跳过。
Financial Markets
以下这些书呢,是我每天睡觉前看的。。。。(什么?你们怎么也知道 Penthouse??难道被发现了?。。。其实 Penthouse这样的杂志只买过一本,好贵啊,之后就没买了。。。)
30.Dynamic Hedging-- Nassim |Taleb(借)
聪聪推荐:作者是很有经验的quant trader,现在纽约,同时在麻省教书。是我现在精读的一本书,因为比较不数学,所以放在睡觉之前看,非常实用,但毕竟是给trader看的,太过实用了。。。。大家不要急着买!第二版就快出来了。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
31.Fooled by randomness--Nassim Taleb(借)
聪聪推荐:看过这本书就知道如何用random的眼光看这个世界了。。。。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
32. Misbehaviour of financial markets-- Mandebrot
聪聪推荐:作者是研究数学经济的得过Wolf奖的超级数学家!现在耶鲁。对金融市场有特别的看法。这本书一定要看啊!
本人看法:又一本借不到的书。~~~><~~~
33. Liar''s poker--Lewis(电子版)
聪聪推荐:讲以前Solomon brothers的Arb team的,当时是世界最厉害的 quant trader。这本书搞trading的人都会看。
本人看法:我有电子版,呵呵,娱乐用书。顺便提一句,去investment banking interview时,千万别说这是你喜欢的书,这是一个bad answer.(具体参见beat the street P122)
34&35. Market wizards I II---Schwager(借)
聪聪推荐:教你怎么做trader,这些是老一代 trader了,现在科技发展了,更加依靠Model了,但是好的trader会有共同点的!
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
36。stochastic volatility--Nielsen?
聪聪推荐:这是一个论文集,关于stochastic vol的研究很多论文收入在内,但是买来之后觉得很亏!因为都是econometrics背景的论文,和我的研究并不怎么相关。大家不要买。。。
本人看法:跳过。
Levy process
37。Financial modelling with jump process---Rama Cont(印)
聪聪推荐:作者是巴黎高科(Ecole polytechnique)的教授,这个学校的学生。。。。。donimate伦敦金融城quant领域!如果你要找quant职位,练好法语先。。。
法国人的金融数学绝对最厉害,不仅仅金融数学起源于法国,现在一些最新的数学研究都是一群法国数学家在做。这本书非常好,数学绝对全面,也够深入,太喜欢了。
这里得要提一下法国的银行,BNP(巴黎银行), SG(兴业银行),Calyon(农业信贷银行)都是市场的佼佼者。特别是前两个,在衍生品领域领先其他bank,不要提GS,ML,MS,在derivatives研究方面,SG的equity, BNP的fixed income领先他们很多。如果你听说一个 equity deri. quant 来自SG, 他肯定经常受到猎头骚扰。
本人看法:内容的确很全,甚至还有beyond levy processes,恐怖。
38。 Levy processes in finance--Wim shouten(印)
聪聪推荐:作者是比利时鲁汶大学的数学教授,最近很红,因为 Levy process很火。这本书很贵,只有193页,没怎么看过,因为我还舍不得买。。。。
本人看法:终于接触到levy process了,否则就像只学过牛顿经典力学一样。
general
39。My life as a quant---E.Derman
聪聪推荐:作者是第一代quant,以前是GS的quant 研究部门head,现在哥大。是stochastic vol领域顶尖人物。其实也是很多其他领域顶尖人物。书不错,但也不是那么好。主要还是作为一个物理学家的角度来写。
本人看法:物理,跳过。
40 & 41。Infectious greed & FIASCO--Frank Partnoy(借)
聪聪推荐:作者最初在 First Boston,后来在Morgan Stanley做衍生品的sales。书里讲了很多衍生品市场如何骗客户,如何赚取dirty money的事情。
本人看法:没看过。-.-b 已在国大图书馆搜到,准备借阅。
整理完毕,累的脖子也硬了。虽然好多书都又贵又买不到(指在新加坡),但国大的藏书还是很令人欣慰的,同样令人欣慰的还有这里的盗版业,那么我只好在毕业之前多印点书才对得起这个地利。:)
另外需要补充的是:Paul Wilmott on Quantitative Finance I II 个人感觉这也是本很好启蒙书,涉猎很广,而且非常非常详细,通俗易懂,也很适合数学背景,总之老少皆宜,可难可易。当年cac刚投身金融数学,其老板对他说:如果你看完这两本书,你就和我水平一样了。所以可见一斑。
最后说一句,如果一开始就目的明确的学习金融数学,又有前辈们指导的话,自然是最好不过,少走很多弯路。但是像我这种半路出家,专业完全不相关的朋友们也不用灰心。只要目标坚定了,日积月累的总会有回报的。:)
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