感谢楼主，都是好东西

13. Asset Pricing theory
内之assetpricingtheory_Pennacchi.zip
pdf档案需要密码才能开启
楼主是否能告知一声

我更新了Pennacchi 的 asset pricing theory，有网友说原来的文件需要密码，我重新压缩了一下，现在这个文件应该不要password了，呵呵

谢谢楼主的更新。。。

一个个的下载，有些麻烦。。。

我家里的网络不好，只能一个一个上传，大一些的文件要传好几次才能成功。还有我觉得，可能大部分人并不是每一个文件都要下载，列清楚也方便大家按需下载，呵呵

下完了，多谢楼主。

看来楼主非常专业!

还有啥需要的书，我还有一些，不知道大家有没有用处，呵呵

像这样成体系的就最好了。孤立的一本两本书读了虽然也有好处，但是不知道自己学到了多少，应该继续学什么

很 棒的资料！谢谢lz辛苦上传啦！！！

呵呵，不客气，希望对大家能有些用处

楼主是大牛，竟然跟我们分享，大大的牛。

楼主太伟大了，感谢楼主！另外，也呼吁在CMU、NYU、UCB、Chicago、Columbia等名校读mfe的同仁，也能像楼主一样发一个mfe所读课程的总结贴，以方便国内对金融工程感兴趣的读者学习。再次感谢。

呵呵，其实每个学校学的东西大同小异，只要能跟着一条线学校来就基本学成了，呵呵

Very nice. It helps a lot to clarify my mind!

thanks！！！

能问一下楼主的background吗？Stanford。。。dream school啊

seems there're lecture notes just of maths and statistics.
have financial or managerial ones?
thanks

先留个惦念，有时间下下来看看！

For 48 楼，这个资料就是针对MFE的，和MBA关系不是很大，呵呵

我使劲攒钱来下载lz的
真晕，没钱下载.......

没关系，先挑自己需要的下载，有那些急需的就发信给我好了，我可以直接发给你，呵呵

谢谢，很全呢。{:2_27:}

天哪，学术就是要这样做的，stanford牛人，你是我的榜样。

Stanford -Master of financial mathematics program

1. STAT 243  Introduction to Mathematical Finance
Lecture notes
(1). Arbitrage Theory in Continuous time, by Tomas Bjork, 3e
(2). Mathematics of Financial Derivatives- A Student Introduction, by Wilmott

2. STAT 240 Statistical Methods in Finance
Text: The Econometrics of Financial Markets,by Campbell John
Reference: Statistical Models and Methods for Financial Markets, by Tze Leung Lai and Haipeng Xing

3. STAT 310 Theory of Probability
(1). lecture notes.。
(2). Real analysis and probability by Dudley,
(3). Probability: theory and examples by Durrett, 4e
(4). Probability and Measure, by Billingsley, 3rd edition,
(5). Probability with martingales, by David Williams,
(6). Brownian Motion and Stochastic Calculus, by Karatzas and Shreve, 推荐
(7). Brownian motion, by Peter Maorters and Yuval Peres, 讲brownian motion有用。

4. MATH 227 Partial Differential Equations and Diffusion Processes
(1) Lecture notes
(2) Partial Differential Equations: An Introduction, by Strauss, 1e

5. MATH 236 Introduction to Stochastic Differential Equations
(1) Stochastic Differential Equations, by Oksendal, 6e
(2) Stochastic Integration And Differential Equations, by Protter, 2e
(3) Probability and random processes, by Grimmett and Stirzaker, 3e

6. MATH 239 Computation and Simulation in Finance
Text: Monte Carlo Methods in Financial Engineering by P. Glasserman

7. MS&E 347 Credit Risk Modeling and Management
(1) Credit Risk: Pricing, Measurement and Management by D. Duffie and K. Singleton
(2) Credit Risk: Theory and Applications by D. Lando
(3) An Introduction to Credit Risk Modeling by C. Bluhm, L. Overbeck and C. Wagner

8. STAT 220 Stochastic Control in Continuous Time
(1) Lecture notes for master level stochastic processes
(2) STAT 220 lecture notes
(3) Text: Applied Stochastic Control of Jump Diffusions, by Oksendal 1e

， ，

9. STATS 315B Modern Applied Statistics Data Mining
Text: The Elements of Statistical Learning, by Hastie and etc. 2e

10. MS&E 241 Investment Science
Text: Investment Science, by Luenberger,

11. MS&E 321 Stochastic System
1. Lecture notes
2. Adventures in Stochastic Processes, by Resnick
3. A First Course in Stochastic Processes, by Karlin and Taylor，2e
4. A Second Course in Stochastic Processes, by Karlin and Taylor
5. An introduction to probability theory by Feller Vol. 1 and Vol. 2
6. Theory and applications of Stochastic Processes, by Schuss
7. Stochastic Processes, by Parzen

12. MS&E 322 Stochastic Calculus and Control
(1) Lecture notes
(2) Text: Stochastic Calculus and Financial Applications, by Steele

13. Asset Pricing theory
(1) Asset Pricing, by Cochrane, revised edition 2e
(2) Asset Pricing Theory by Pennacchi
(3) Dynamic Asset Pricing Theory by Duffie 3e

14. Levy Processes
(1) Financial Modeling with Jump processes,1e
(2) Introductory Lectures on Fluctuations of Levy Processes with Applications by Andreas E. Kyprianou
(3) Levy Processes in Finance Pricing Financial Derivatives by Wim Schoutens
(4) Levy Processes and Stochastic Calculus, 2e by David Applebaum,2e

15. Portfolio optimization
(1) Portfolio Optimization and Performance Analysis by Prigent
(2) Robust Portfolio Optimization and Management by Fabozzi and etc

16. Other general method
(1) Advances in Mathematical Finance by Michael Fu and etc.
(2) Mathematics of Financial Markets 2e  by Elliott Kopp
(3) Handbook of Finance Vol 1 Financial Markets and Instruments, Ed. Fabozzi,
(4) Handbook of Operations Research and Managment Sciences, Vol 9, Finance
(5) Handbook of Operations Research and Managment Sciences, Vol 15, Financial Engineering
(6) Interest Rate Models, Theory and Practice, 2e by Damiano Brigo and etc.
(7) Limit Theorems for Stochastic Processes, 2e by Jacod and Shiryaev, (Research 必备书籍)
(8) Martingale Methods in Financial Modelling, 2e by Marek Musiela and Marek Rutkowski
(9) Mathematical Methods for Financial Markets, by Monique Jeanblanc,
(10) Optimal Stopping and Free Boundary Problems, by Peskir and Shiryaev
(11) Optimization Methods in Finance, by Gerard Cornuejols and Reha Tutuncu
(12) Quantitative Finance Vol-1_3 2Nd Ed,
(13) Stochastic Optimization Models in Finance, by Ziemba and etc.

好贴，略贵

55# icapm

是帮我列个目录吗，谢谢了:)

56# 悟明

呵呵，欢迎来文献求助区

http://www.pinggu.org/bbs/index.asp?boardid=86

赚取论坛币，回答一个问题就能得到50 + 100 ＝ 150 币的奖励哦，呵呵

27# Brandonp

Thanks so much for ur share, was looking for this everywhere!!