A:数学分析 微分方程
微观金融学包括金融市场及金融机构研究、投资学金融工程学金融经济学、公司金融财务管理等方面,宏观金融学包括货币经济学货币银行学、国际金融学等方面,实证和数量方法包括数理金融学、金融计量经济学等方面,以下书目侧重数学基础、经济理论和数理金融学部分。
◎函数与分析
《什么是数学》,牛津丛书
●集合论
☆Paul R. Halmos,Naive Set Theory 朴素集合论(美)哈莫斯(好书,深入浅出但过简洁)
集合论(英文版)Thomas Jech(有深度)
Moschovakis,Notes on Set Theory
集合论基础(英文版)——图灵原版数学·统计学系列(美)恩德滕
●数学分析
○微积分
☆Tom M. Apostol, Calculus vol Ⅰ&Ⅱ(数学家写的经典高等微积分教材/参考书,写法严谨,40年未再版,致力于更深刻的理解,去除微积分和数学分析间隔,衔接分析学、微分方程、线性代数、微分几何和概率论等的学习,学实分析的前奏,线性代数应用最好的多元微积分书,练习很棒,对初学者会难读难懂,但具有其他教材无法具备的优点。Stewart的书范围相同,也较简单。)
Carol and Robert Ash,The Calculus Tutoring Book(不错的微积分辅导教材)
★R. Courant, F. John, Introduction to Calculus and Analysis vol Ⅰ&Ⅱ(适合工科,物理和应用多)
Morris Kline,Calculus, an intuitive approach
Ron LarsonCalculus (With Analytic Geometry(微积分入门教材,难得的清晰简化,与Stewart同为流行教材)
《高等微积分》Lynn H.Loomis / Shlomo Stermberg
Morris Kline,Calculus: An Intuitive and Physical Approach(解释清晰的辅导教材)
Richard Silverman,Modern Calculus with Analytic Geometry
Michael,Spivak,Calculus(有趣味,适合数学系,读完它或者Stewart的就可以读Rudin的Principles of Mathematical Analysis或者Marsden的Elementary Classical Analysis,然后读Royden的Real Analysis学勒贝格积分和测度论或者Rudin的Functional Analysis学习巴拿赫和希尔伯特空间上的算子和谱理论)
James Stewart,Calculus(流行教材,适合理科及数学系,可以用Larson书补充,但解释比它略好,如果觉得难就用Larson的吧)
Earl W. Swokowski,Cengage Advantage Books: Calculus: The Classic Edition(适合工科)
Silvanus P. Thompson,Calculus Made Easy(适合微积分初学者,易读易懂)
○实分析(数学本科实变分析水平)(比较静态分析)
Understanding Analysis, Stephen Abbott,(实分析入门好书,虽然不面面俱到但清晰简明,Rudin, Bartle, Browder等人毕竟不擅于写入门书,多维讲得少)
★T. M. Apostol, Mathematical Analysis
Problems in Real Analysis 实分析习题集(美)阿里普兰斯,(美)伯金肖
☆《数学分析》方企勤,北大
胡适耕,实变函数
《分析学》Elliott H. Lieb / Michael Loss
★H. L. Royden, Real Analysis
W. Rudin, Principles of Mathematical Analysis
★米什金《货币银行和金融市场经济学》
★Nelken,Pricing,Hedging,and Trading Exotic Options(奇异期权)
☆Sheldon Natenberg,Option Volatility & Pricing: Advanced Trading Strategies and Techniques
Edgar A. Norton,Introduction to Finance:Markets,Investments and Financial Management《金融学导论:市场、投资与财务管理》
★Lewis,Option Valuation under Stochastic Volatility:with Mathemetical Code(随机波动率)
☆《金融工程原理》 萨利赫.内福斯(Salih N.Neftci)本帖隐藏的内容
Peter Rose, Sylvia C. Hudgins, Commercial Bank Management《商业银行管理》
Peter S. Rose, Money and Capital Markets《金融市场学》
Shreve:Stochastic Calculus Models for Finance vol 1 & 2
Taleb:Dynamic Hedging
Lloyd B. Thomas, Money, Banking, and Financial Markets《货币,银行业与金融市场》
☆《金融经济学》 王江
Robert E. Whaley, Derivatives: Markets, Baluation, and Risk Management《衍生工具》
Paul Wilmott, Paul Wilmott introduces quantitative finance《金融计量经济学》
Wilmott P.: quantitative finance(利率模型)
★Wilmott P.,Derivatives:The Theory and Practice of Financial Engineering(期权定价,偏微分方程方法用得好)
3. 固定收益
★Bielecki,Rutkowski,Credit Risk:Modeling,Valuation and Hedging(违约风险高级教材)
★Brigo,Mercurio,Interest Rate Models:Theory and Practice(固定收益证券和利率衍生产品)
Cherubini,Copula Methods in Finance
Haung,zhang,Option Pricing Formulas
Hayre: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities Lando,Credit Risk
Lewis,Option Valuation in Stochastic vol
Lipton,Mathematical Methods for Foreign Exchange
★Martellini,Priaulet,Fixed-Income Securities:Dynamic Methods for Interest Rate Risk Pricing and Hedging(固定收益债券、利率衍生产品)
★Martellini,Priaulet Fixed-Income Securities:Valuation,Risk Management and Portfolio Strategies(固定收益债券、利率衍生产品)
Mecurio,Fabio,Interest Rate Models and Practice
★Pelsser,Efficient Methods for Valuing Interest Rate Derivatives(固定收益证券和利率衍生产品) Schonbucher,Credit Derivatives Pricing Models
★Sundaresan,Fixed Income Markets and Their Derivaties(固定收益债券、利率衍生产品)森达里桑《固定收入证券市场及其衍生产品》
Tavakoli: Collateralized Debt Obligations and Structured Finance
Tavakoli: Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications
Tuckman: Fixed Income Securities: Tools for Today's Markets
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