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0.0 First steps -- General:
A. Black-Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbu
C. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska
0.1 First steps -- Interest rates:
A. Fixed Income Analytics, K Garbade
0.3 First steps -- Stochastic Calculus:
A. An Introduction to the Mathematics of Financial Deivatives, S N Neftci
0.5. First steps -- Honourable mention:
A. Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets, A J Baird
===============================================================================
1.0. Introductory -- General:
A. Options Markets, J C Cox, M Rubinstein
B. Options, Futures, and Other Derivatives, J C Hull
C. An Introduction to Mathematical Finance: Options and Other Topics, S M Ross
D. Paul Wilmott Introduces Quantitative Finance, P Wilmott.
E. The Mathematics of Financial Derivatives: A Student Introduction, P Wilmott, S Howison, J Dewynne
1.1 Introductory -- Interest rates:
A. Modelling Fixed Income Securities and Interest Rate Options, R A Jarrow
课件资料地址：http://forum.johnson.cornell.edu/faculty/jarrow/Lectures.html
1.2 Introductory -- Exotics:
A. Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, H M Kat
1.3 Introductory -- Stochastic Calculus:
A. Elementary Stochastic Calculus With Finance in View, T Mikosch.
1.4 Introductory -- Computational:
A. Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab, E Z Prisman
随书光盘资料：http://www.maplesoft.com/applications/view.aspx?SID=5065
1.5 Introductory -- Honourable mention:
A. Investment Under Uncertainty, A K Dixit, R S Pindyck
B. The Complete Guide to Option Pricing Formulas, E G Haug
C. Real Options: Managerial Flexibility and Strategy in Resource Allocation, L Trigeorgis
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2.0 Halfway technical -- General:
A. Quantitative Modeling of Derivative Securities From Theory To Practice, M Avellaneda, P Laurence
B. Financial Calculus : An Introduction to Derivative Pricing, M Baxter, A Rennie
C. Arbitrage Theory in Continuous Time, T Bjork
D. Theory of Financial Decision Making, J E Ingersoll
E. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, R Kiesel, N H Bingham
F. Mathematical Models of Financial Derivatives, Y K Kwok
作者网站上有所有参考资料：http://www.math.ust.hk/~maykwok/
G. Continuous-Time Finance, R C Merton
H. Paul Wilmott on Quantitative Finance, 2 Volume Set, P Wilmott.
2.2. Halfway technical -- Stochastic Calculus:
A. Introduction to Stochastic Calculus with Applications, F C Klebaner
2.4. Halfway technical -- Computational:
A. Implementing Derivatives Models, L Clewlow, Chr Strickland
B. Pricing Financial Instruments: The Finite Difference Method, D Tavella, C Randall
2.5. Halfway technical -- Honourable mention:
A. The Treasury Bond Basis, G D Burghardt, T M Belton, M Lane, J Papa.
B. Dynamic Hedging, N Taleb.
3.0及4.0部分请见二楼
0.3A An Introduction to the Mathematics of Financial Derivatives2nd(Neftci 2000)答案.pdf
abbr_cd4fab9122a6761f3fbfb7421516e83a.rar
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