金融工程书单

 

This is a list of books that have been proved to be useful in the education of many Quants. Many of these books are used in the MFE programs. Feel free to suggest other titles in different categories and I will add to the master list.

FREE QUANT CAREER GUIDES

1) What do quant do? A guide by Mark Joshi.

2) Paul & Dominic's Guide to Quant Careers

3) Career in Financial Markets ‐ a guide by efinancialcareers.

4) Interview Preparation Guide by Michael Page: Quantitative Analysis, and Quantitative Structuring.

LIFE AS A QUANT

1) How I became a Quant : Stories of 25 Top Quants

2) My life as a Quant, by Emmanual Derman

3) Working the Street by Erik Banks

4) Liar's Poker by Michael Lewis

5) Fooled by Randomness by Nassim Nicholas Taleb

6) The Complete Guide to Capital markets for Quantitative Professionals

BOOKS FOR QUANT INTERVIEWS

1) Basic Black‐Scholes: Option Pricing and Trading by Timothy Falcon Crack

2) Heard on the Street: Quantitative Questions from Wall Street Job

Interviews by Timothy Falcon Crack

3) Frequently asked questions in Quantitative finance

4) Starting Your Career as a Wall Street Quant

5) A Practical Guide to Quantitative Finance Interviews by Xinfeng Zhou

6) Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller

7) Quant Job Interview Questions and Answers by Mark Joshi Quant Job Interview Questions and Answers by Mark Joshi, Andrew Downes, Nick Denson (Book) in Business & Economics

GENERAL

1) The Concepts and Practice of Mathematical Finance, by Mark S. Joshi

2) Paul Wilmott on Quantitative Finance, by Paul Wilmott

3) Options, Futures, and Other Derivatives, by John C. Hull

4) A Primer for the Mathematics of Financial Engineering by Dan Stefanica

5) Principles of Financial Engineering (2nd Ed) by Salih Neftci

FINITE DIFFERENCES

1) Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison

2) Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall

MONTE CARLO

1) Monte Carlo Methods in Finance, by Peter Jaeckel. Errata available at jaeckel.org

2) Monte Carlo, by Bruno Dupire (Editor)

3) Monte Carlo Methods in Financial Engineering, by Paul Glasserman

STOCHASTIC CALCULUS

1) Steven Shreve: Stochastic Calculus and Finance

2) An Introduction to the Mathematics of Financial Derivatives, Second Edition, by Salih Neftci free solution manual available on‐line

3) Bernt Oksendal: Stochastic Differential Equations: An Introduction with Applications

VOLATILITY

1) Volatility and Correlation, by Riccardo Rebonato

2) Volatility, by Robert Jarrow (Editor)

INTEREST RATE

1) Interest Rate Models ‐ Theory and Practice, by D. Brigo, F. Mercurio. Updates available on‐line Professional Area of Damiano Brigo's web site

2) Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato

3) Interest‐Rate Option Models, by Riccardo Rebonato

4) Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser

5) Interest Rate Modeling, by Nick Webber, Jessica James

FOREIGN EXCHANGE

1) Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup

2) Mathematical Methods for Foreign Exchange, by Alexander Lipton

STRUCTURED FINANCE

1) The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by Sylvain Raynes and Ann Rutledge

2) Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor

3) Securitization Markets Handbook, Structures and Dynamics of Mortgage‐ and Asset‐backed securities by Stone & Zissu

4) Securitization, by Vinod Kothari

5) Modeling Structured Finance Cash Flows with Microsoft Excel: A Step‐by‐Step Guide (Wiley Finance) (Paperback) (good for understanding the basics)

6) Structured Finance Modeling with Object‐Oriented VBA (Wiley Finance) (a bit more detailed and advanced than the step by step book)

STRUCTURED CREDIT

1) Collateralized Debt Obligations, by Arturo Cifuentes (out of print but worth picking up if you find a copy)

2) An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)

3) Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher

4) Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli

5) Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series) by Christian Bluhm and Ludger Overbeck ( Hardcover ‐ Sep 29, 2006)

VALUE AT RISK

1) VAR, by various authors

2) Value at Risk, by Philippe Jorion

3) RiskMetrics Technical Document RiskMetrics Group

4) Risk and Asset Allocation by Attilio Meucci

SAS/S/S‐PLUS

1) The Little SAS Book: A Primer, Third Edition by Lora D. Delwiche and Susan J. Slaughter

2) Modeling Financial Time Series with S‐PLUS

3) Statistical Analysis of Financial Data in S‐PLUS

4) Modern Applied Statistics with S

SQL PROGRAMMING

HANDS ON

1) Implementing Derivative Models, by Les Clewlow, Chris Strickland

Errata available at Error

2) The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug

EXCEL AND FINANCE

1) Advanced modelling in finance using Excel and VBA, by Mary Jackson, Mike Staunton

2) Financial Modelling, by Simon Benninga

EXCEL

1) Definitive Guide to Excel VBA, by M. Kofler

2) Excel 2002 VBA Programmer's Reference, by John Green, Stephen Bullen, Rob Bovey, Robert Rosenberg

3) Excel 2003 Power Programing with VBA, by John Walkenbach

4) Excel 2003 Formulas, by John Walkenbach

5) Microsoft Excel 2002 Visual Basic for Applications Step by Step, by Reed Jacobson

6) Excel Hacks

PROGRAMMING

1) Problems Solving with C++, 6th Edition, by Walter Savitch

2) Absolute C++, 3rd Edition by Walter Savitch

3) The C++ Programming Language, Special Edition, by Bjarne Stroustrup

4) Thinking in C++: Introduction to Standard C++, Volume One, by Bruce Eckel

5) Numerical Recipes in C, also available on‐line from Numerical Recipes Home Page

6) GNU Autoconf, Automake, and Libtool, also available as free book

from GNU Autoconf, Automake and Libtool

7) Open Source Development with CVS, by Karl Fogel, also available as free book from A CVS Book

8) UML Distilled, by Martin Fowler, Kendall Scott

9) Design Patterns, by E. Gamma, R. Helm, R. Johnson, J. Vlissides

NOT ENOUGH YET?

1) Energy Derivatives, by Les Clewlow, Chris Strickland

2) Hull‐White on Derivatives, by John Hull, Alan White

3) Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor), Hardcover (June 1997), International Thomson Business Press; ISBN: 0412631709

4) Market Models, by C.O. Alexander, Hardcover ‐ 514 pages (26 September, 2001), John Wiley and Sons Ltd; ISBN: 0471899755

5) Pricing, Hedging, and Trading Exotic Options, by Israel Nelken

6) Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow, Hardcover (October 1995), McGraw Hill College Div; ISBN: 0070323739

7) Black‐Scholes and Beyond, by Neil A. Chriss, Hardcover ‐ 500 pages (30 September, 1996), Irwin Professional (USA); ISBN: 0786310251

8) Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander (Editor), Hardcover ‐ 304 pages Revised Ed (12 November, 1998), John Wiley and Sons Ltd; ISBN: 0471979570

9) Mastering Risk: Volume 2 ‐ Applications: Your Single‐Source Guide to Becoming a Master of Risk, by Carol Alexander, Paperback ‐ 264 pages 1 (24 October, 2001), Pearson Education; ISBN: 0273654365

 

[1] Desmond Higham, An Introduction to Financial Option Valuation: Mathematics,

Stochastics and Computation, Cambridge University Press, 2004. ISBN: 0521547571

 

[2] Thomas J. R. Hughes, The Finite Element Method : Linear Static and Dynamic Finite Element

Analysis,1987.

 

[3] Alexandre Ern, Jean-Luc Guermond,Theory and Practice of Finite Elements ---

Applied Mathematical Sciences, Springer-Verlag, 2000,￥80.00$

 

[4] [美]Achintya Haldar, Sankaran Mahadevan ,Reliability Assessment Using Stochastic Finite

Element Analysis,Wiley & Son, April 5, 2000, ￥101.00$

 

[5] [美] Robert A. Adams, John J. F. Fournier ,Sobolev Spaces, Second Edition, (Pure and Applied Mathematics,

Volume 140) Academic Press; July, 2003, ￥90.00$

 

[6] [美]Jurg T. Marti,Introduction to Sobolev Spaces and Finite Element Solution of Elliptic

Boundary Value Problems (Computational Mathematics and Applications),

Elsevier Publishing Company, (January 1, 1987), ￥144.00$

 

[7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der

mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$

 

[8] Herbert A. David, H. N. Nagaraja, Order Statistics, 3rd Edition, Wiley 2003.

ISBN: 0-471-38926-9

 

[9] [法]让-雅克·拉丰、让·梯若尔 ,政府采购与规制中的激励理论,当代经济学系列丛书 ,石磊、王永钦 译,

上海三联书店,上海人民出版社, 2004. 市场价:￥60.00元

 

[10] [美]H.培顿.扬, 个人策略与社会结构---制度的演化理论,当代经济学译库 ,王勇 译 ,

上海三联书店,上海人民出版社,2004. 市场价:￥16.50元

 

[11] 张维迎, 博弈论与信息经济学, 当代经济学教学参考系列 ,上海三联书店,上海人民出版社,

1996. 市场价:￥38.00元

 

[12] 卢俊编译, 资本结构理论研究译文集, 当代经济学系列丛书 ,上海三联书店,上海人民出版社,

2003. 市场价:￥35.00元

 

[13] Joseph E. Stiglitz, Carl E. Walsh, Economics, Third Edition, W.W. Norton and Company ,2004.

 

[14] Geoffery A.Jehle, Philip J.Reny, 高级微观经济理论（英文版）,上海财经大学出版社,2002.

 

[15] Stephen F.LeRoy, Jan Werner, 金融经济学原理(英文版),上海财经大学出版社,2003.

 

[16] Ross M. Starr, General Equilibrium Theory, An Introduction, Cambridge University Press, 1997.

上海财经大学出版社中译本,2002.

 

[17] 埃尔玛·沃夫斯岱特, 高级微观经济学---产业组织理论、拍卖和激励理论,上海财经大学出版社,2002.

 

[18] Angeldela Fuente, 经济数学方法与模型,上海财经大学出版社,2003.

 

[19] David Romer, 高级宏观经济学（英文版）,上海财经大学出版社,2002.

 

[20] 亚蒂什 N巴格瓦蒂等, 高级国际贸易学（第二版）,上海财经大学出版社,2004.

 

[21] Salanie,市场失灵的微观经济学,上海财经大学出版社,2004.

 

[22] 因内思·马可斯达德勒等,信息经济学引论:激励与合约,上海财经大学出版社,2003.

 

[23] JohnY.Campbell,金融市场计量经济学,上海财经大学出版社,2003.

 

[24] Simon Benninga,财务金融建模---用Excel工具,上海财经大学出版社,2003.

 

[25] 达瑞尔·达菲, 动态资产定价理论,（第3版）,上海财经大学出版社,2004.

 

[26] Mary Jackson, Mike Staunton, Advanced Modelling in Finance using Excel and VBA,

John Wiley & Sons, 2001.

 

[27]John C. Hull,Options, Futures, and Other Derivatives , Pearson Education,2002.

 

[28]Robert C. Merton,Continuous-Time Finance,Blackwell Publishers,1992.

 

[29]Sheldon Natenberg,Option Volatility & Pricing: Advanced Trading Strategies and Techniques ,

McGraw-Hill ,1994.

 

[30]Frank J. Fabozzi,The Handbook of Fixed Income Securities, 6th Edition,McGraw-Hill ,2000.

 

[31]Frank J. Fabozzi,Fixed Income Mathematics,McGraw-Hill ,1996.

 

[32]Simon Benninga, Financial Modeling , 2nd Edition,The MIT Press,2000.

 

[33] Damiano Brigo,Interest Rate Models, Springer-Verlag,2001.

 

[34] Philipp J. Schonbucher, The Mathematics of Credit Derivatives: The Essential Credit Modelling and

Pricing Companion,WBS Training, 2003.

 

[35] Philipp J. Schonbucher, Credit Derivatives Pricing Models: Model, Pricing and Implementation,

John Wiley & Sons, 2003.

 

[36] Steven E. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, (Springer Finance),

Springer-Verlag,2004.

 

[37] Paul Glasserman, Monte Carlo Methods in Financial Engineering (Applications of Mathematics, 53),

Springer-Verlag,2003.

 

[38] Peter Jaeckel, Monte Carlo Methods in Finance,2001.

 

[39] J. Michael Steele, Stochastic Calculus and Financial Applications,

Stochastic Modeling and Applied Probability, Vol.45, Springer-Verlag,2001.

 

[40] Ioannis Karatzas, Steven E. Shreve,Brownian Motion and Stochastic Calculus, 2ed,

(Graduate Texts in Mathematics 113), Springer-Verlag,1991.

 

[41] [美]Darrell Duffie, Dynamic Asset Pricing Theory, 3ed, 潘存武译, 新世纪高校经济学教材译丛,

上海 : 上海财经大学出版社, 2004.

 

[42] Ross, Sheldon M., An elementary introduction to mathematical finance: options and other topics, 2nd edition,

Cambridge University Press, 2003.

 

[43] Baxter, Martin, and Andrew Rennie, Financial calculus : an introduction to derivative pricing, Cambridge

University Press, 1996.

 

[44] James O.Berger, Statistical Decision Theory and Bayesian Analysis,Second Edition,

SPRINGER SERIES IN STATISTICS,Springer-Verlag,2001. 世界图书出版公司,2004影印.

 

[45] Ioannis Karatzas,Steven E.Shreve,Methods of Mathematical Finance, Applications of Mathematics,

Springer-Verlag,1998. 世界图书出版公司,2004影印.

 

[46] M.Musiela,M.Rutkowski,Martingale Methods in Financial Modelling,Applications of Mathematics,

Springer-Verlag,1997. 世界图书出版公司,2003影印.

 

[47] J.Stoer,R.Bulirsch,Introduction to Numerical Analysis,Second Edition,Texts in Applied Mathematics ,

Springer-Verlag,1995. 世界图书出版公司,1998影印.

 

[48] Paul R.Halmos,Measure Theory, Graduate Texts in Mathematics,

Springer-Verlag,1958. 世界图书出版公司,1998影印.

 

[49] A.N.Shiryaev,Probability,Second Edition, Graduate Texts in Mathematics,

Springer-Verlag,2001. 世界图书出版公司,2004影印.

 

[50] P.Malliavin,Stochastic Analysis,Springer-Verlag,2001. 世界图书出版公司,2003影印.

 

[51] P.Embrechts,C.Kluppelberg,T.Mikosch, Modelling Extremal Events for Insurance and Finance,

Applications of Mathematics,Springer-Verlag,1998. 世界图书出版公司,2003影印.

 

[52] Susanne C.Brenner, L.Ridgway Scott, The Mathematical Theory of Finite Element Methods,

Springer-Verlag,1995. 世界图书出版公司,1998影印.

 

[53] Jean-Baptiste Hiriart-Urruty Claude Lemarechal,Fundamentals of Convex Analysis,

Springer-Verlag,2001. 世界图书出版公司,2004影印.

 

[54] V.Thomee,Galerkin Finite Element Methods for Parabolic Problems,Springer Series in Computational Mathematics ,

Springer-Verlag,2001. 世界图书出版公司,2003影印.

 

[55] Paul E.Pfeiffer,Probability for Applications,Springer Texts in Statistics ,

Springer-Verlag,2001. 世界图书出版公司,2003影印.

 

[56] Jean-Pierre Aubin, Optima and Equilibria--- An Introduction to Nonlinear Analysis, Graduate Texts in Mathematics ,

Springer-Verlag,1997. 世界图书出版公司,1998影印.

 

[57] Bernt Ksendal, Stochastic Differentical Equations An Introduction with Applications Sixth Edition,

Springer-Verlag,1995. 世界图书出版公司,2006影印.

 

[58] Hans U.Gerber, Life Insurance Mathematics, Third Edition,

Springer-Verlag,1995. 世界图书出版公司,1999影印.

 

[59] Eberhard Zeidler,Nonlinear Functional Analysis and Its Applications I: Fixed-Point Theorems,

Springer-Verlag,1986.Price: $169.00.

 

[60] Eberhard Zeidler,Nonlinear Functional Analysis and Its Applications IIA: Linear Monotone Operators,

Springer-Verlag,1986. Price: $169.00.

 

[61] Eberhard Zeidler,Nonlinear Functional Analysis and Its Applications IIB: Nonlinear Monotone Operators,

Springer-Verlag,1986. Price: $141.67.

 

[62] Eberhard Zeidler,Nonlinear Functional Analysis and Its Applications III: Variational Methods and Optimization,

Springer-Verlag,1985. Price: $130.00.

 

[63] Eberhard Zeidler,Nonlinear Functional Analysis and Its Applications IV:

Applications to Mathematical Physics, 2nd edition, Springer-Verlag,1988. Price: $139.00.

 

[64] Eberhard Zeidler, Applied Functional Analysis: Main Principles and Their Applications,

Applied Mathematical Sciences, Vol 109, Springer-Verlag,1995. Price: $89.95.

 

[65] Eberhard Zeidler, Applied Functional Analysis: Variational Methods and Optimization:

Applied Mathematical Sciences Vol 108, Springer-Verlag,1995. Price: $130.

 

[66] Arellano, M. Panel Data Econometrics, Oxford University Press, 2003.

 

[67] Maddala, G.S. and In-Moo Kim, Unit Roots, Cointegration, and Structural Change,

Cambridge University Press, 1998.

 

[68] Fumio Hayashi, Econometrics, Princeton University Press, 2000.

 

[69] H. Lutkepohl, Introduction to Multiple Time Series Analysis, Springer-Verlag ，1993.

 

[70] J.M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press, 2001.

 

[71] [美]尼斯坎南, 公共管理译丛---官僚制与公共经济学， 王浦劬等译，中国青年出版社，2004.￥28元

 

[72] [英]raghbendra Jha, 公共管理译丛---现代公共经济学， 王浦劬,方敏等译，中国青年出版社，2004.￥52元

 

[73] [英]敦利威, 公共管理译丛---民主、官僚制与公共选择--政治科学中的经济学阐释， 张庆东译，中国青年出版社，2004.￥32元

 

[74] [美]Walter Rudin, 泛函分析---第2版, 刘培德译, 机械工业出版社， 2004.

 

[75] [美]小詹姆斯L.法雷尔 沃尔特J.雷哈特, 投资组合管理理论及应用,第二版, 齐寅峰等译,

机械工业出版社， 2000.￥50.00

 

[76] [美]罗伯特S.平狄克 丹尼尔L.鲁宾费尔德,计量经济模型与经济预测---第4版, 钱小军等译,

 

机械工业出版社， 2000.￥50.00

 

[77] 保罗A.萨缪尔森 威廉D.诺德豪斯, 经济学_英文版_第16版, 机械工业出版社， 2000.￥78.00

 

[78] Stokey, Nancy L., and Robert E. Lucas, Jr., with Edward C. Prescott,

Recursive Methods in Economic Dynamics, Harvard University Press， 1989.

 

[79] Lars Ljungqvist, Thomas J. Sargent，Recursive Macroeconomic Theory，2nd edition,

2002.

 

[80] Harold W.Kuhn, Classics in Game Theory, Princeton University Press, 2000.

韩松 刘世军 等译, 当代世界学术名著.经济学系列,中国人民大学出版社 , 2004-11-01.

 

[81] [英] 弗朗西丝·考埃尔, 金融衍生工具与投资管理计量模型---金融衍生工具与资本市场译库,

赵志义等译, 经济管理出版社, 2004年01月, ￥68.

 

[82] [美] J. 斯蒂芬斯 Ross, 用金融衍生工具管理货币风险---金融学译丛 , 徐杰译,

中国人民大学出版社, 2004. ￥30.

 

[83] [美] 格林布莱特，蒂特曼， 金融市场与公司战略（上, 下）---金融学译丛 , 贺书婕等译 ,

中国人民大学出版社, 2001. ￥99.

 

[84] 公共经济学教程（影印本）, 新世纪高校经济学英文版教材 ,上海财经大学出版社, 2005.￥ 42.

 

[85] [美] 雷奥奇·卡塞拉, 罗杰 L.贝耶, 统计推断（英文版）,第２版, 机械工业出版社, 2002. ￥ 39.

 

[86] 邹薇, 高级微观经济学---现代经济学高级教程, 武汉大学出版社,2005.￥ 50.

 

[87] Yuh-Dauh Lyuu, Financial Engineering and Computation, Principles, Mathematics, Algorithms,

CAMBRIDGE UNIVERSITY PRESS, 2002.

 

[88]H. Bühlmann, Mathematical Methods in Risk Theory, Springer, 1996.

 

[89] C. Daykin, T. Pentikainen, M. Pesonen, Practical Risk Theory for Actuaries, Chapman & Hall, 1994.

 

[90] H. Panjer, G. Willmot, Insurance Risk Models, Society of Actuaries, Schaumburg, IL, 1992.

 

[91] S. Klugman, H. Panjer, G. Willmot, G. Venter, Loss Models: From Data to Decisions,

John Wiley & Sons, 1998.

 

[92] J.-P.Bouchaud, M. Potters, Theory of Financial Risks. From Statistical Physics to

Risk Management, Cambridge University Press, 2001.

 

[93] David Lando, Credit Risk Modeling: Theory and Applications, Princeton University

Press, July 2004.

 

[94] Jean-Paul Chavas, Risk Analysis in Theory and Practice (Academic Press Advanced Finance), Academic Press, 2004 June.

 

[95] Perry Mehrling, Fischer Black And The Revolutionary Idea Of Finance, (ISBN: 0471457329) ,John Wiley & Sons Inc,

2005.

 

[96] Steven E. Shreve, Stochastic Calculus for Finance II : Continuous-Time Models (Springer Finance)

Springer-Verlag ,June 3, 2004 $69.95

 

[97] Steven E. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, (Springer Finance)

Springer-Verlag ,June 3, 2004 $54.26

 

[98] Damiano Brigo, Fabio Mercurio, Interest Rate Models, (Springer Finance) Springer-Verlag ,2001 $89.95

 

[99] Emilio Barucci,Leonardo Landi,Umberto Cherubini,Computational Methods in Finance:

Option Pricing, IEEE, 1996.

 

[100] 约翰·利奇,公共经济学教程（英文影印本）, 新世纪高校经济学英文版教材,

上海财经大学出版社,2005. 42.00

 

[101] 阿诺德.泽尔纳,计量经济学贝叶斯推断引论, 新世纪高校计量经济学教材译丛,

上海财经大学出版社,2005. 51.00

 

[102] [荷] R.卡尔斯等, 现代精算风险理论, 唐启鹤等译, 科学出版社, 2005. 32.00

 

[103] 詹姆斯.R.埃文, 模拟与风险分析, 上海人民出版社,2004. 36.00

 

[104] 谢志刚, 风险理论与非寿险精算, 南开大学出版社,2005. 23.00

 

[105] Magill, M. and M. Quinzii, The Theory of Incomplete Markets. Cambridge,

MA: MIT Press (1996). (An excellent text on the microeconomic foundations of

finance from a general equilibrium point of view )

 

[106] Kwok, Yue-Kuen, Mathematical Models of Financial Derivatives, Series: Springer Finance,

2nd ed., Springer-Verlag, 2007. ISBN: 3-540-42288-9

 

[107] Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William Goetzmann, Modern Portfolio Theory and

Investment Analysis, 6th Edition, Wiley & Son, 2002. $109

 

[108] Rene Carmona, Statistical Analysis of Financial data in S-PLUS, Springer-Verlag, 2004.

 

[109] George Levy. Computational Finance Numerical Methods for Pricing Financial

Instruments, Butterworth-Heinemann, 1st edition, 2003.

 

[110] Vijay Krishna, Auction theory, Academic Press, 2002.

 

[111] Juergen Topper, Financial Engineering with Finite Elements, ISBN: 0-471-48690-6,

Wiley & Son, 2005. $99.45

 

[112]Keith Cuthbertson, Dirk Nitzsche, Financial Engineering: Derivatives and Risk Management, 2001

 

[113] Roger B.Myerson, Probability Models for Economic Decisions (with CD-ROM),1st Edition,

Duxbury, 2005.ISBN: 0534423922

 

[114]John Y. Campbell, Andrew W. Lo (Contributor), Archie Craig MacKinlayThe, Econometrics of Financial

Markets, Princeton Univ Press, 1999.

 

[115] John C. Hull, Options, Futures and Other Derivatives, Prentice Hall College Div; 5th edition, 2002.

 

[116] Frank J. Fabozzi (editor), Handbook of Fixed Income Securities, McGraw-Hill, 6th edition, 2002.

 

[117] Domingo Tavella, Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance,

Wiley & Son, 2003. ISBN: 0-471-27479-8

 

[118] Mario J. Miranda,Applied Computational Economics and Finance, Cambridge, MA: MIT Press, September, 2002.

 

[119] Paolo Brandimarte, Numerical Methods in Finance: A Matlab-based Introduction, Wiley & Son, Apr 2002,

ISBN: 0471396869

 

[120] Elmar Wolfstetter, Topics in Microeconomics, Industrial Organization, Auctions and Incentives,

Cambridge University Press, 1999, Humboldt-Universitat zu Berlin, 2000.

 

[121] Andreu Mas-Colell, Michael D. Whinston and Jerry R. Green, Microeconomic Theory,

Oxford University Press, 1995.

 

[122] Inés Macho-Stadler and David Pérez-Castrillo, An introduction to the Economics of Information,

Oxford University Press, 1997.

 

[123] Jack Hirshleifer and John G. Riley, The Analytics of Uncertainty and Information,

Cambridge University Press, 1992.

 

[124] Juergen Topper, Financial Engineering with Finite Elements (The Wiley Finance Series), April 2005.

ISBN: 0-470-01291-9

 

[125] Daniel J. Duffy, Finite Difference Methods in Financial Engineering : A Partial Differential Equation

Approach (The Wiley Finance Series) (Hardcover) ,2006.

 

[126] Malliavin, Paul, Thalmaier, Anton, Stochastic Calculus of Variations in Mathematical Finance,

Series: Springer Finance, Springer-Verlag, 2006, XII, 142 p., ISBN: 3-540-43431-3

 

[127] Delbaen, Freddy, Schachermayer, Walter, The Mathematics of Arbitrage,

Series: Springer Finance, Springer-Verlag, 2006, XVI, 371 p., ISBN: 3-540-21992-7

 

[128] Musiela, Marek, Rutkowski, Marek, Martingale Methods in Financial Modelling,

Series: Stochastic Modelling and Applied Probability , Vol. 36, 2nd ed.,

Springer-Verlag, 2005, XVI, 636 p., ISBN: 3-540-20966-2

 

[129] Jamil Baz George Chacko, Financial Derivatives : Pricing, Applications, and Mathematics,

Cambridge University Press,2004. 北京大学出版社影印, 2005.9, ISBN: 7-301-09680-1￥45.00

 

[130] [美] 莫瑞斯.奥博斯特弗尔德等, 高级国际金融学教程：国际宏观经济学基础, 刘红忠,李心丹等译,

国外经济金融教材精选 , 中国金融出版社, 2002-10-1, ISBN: 7-5049-2770-8 ,￥88.00

 

[131] Zvi Bodie and Robert C.Merton, Finance, Prentice-Hall,2001, 高等教育出版社影印,

ISBN: 7-04-011675-8, ￥37.80

 

[132] Didier Cossin et al, Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess,P

rice,and Manage Credit Risk, John Wiley & Sons, 殷剑峰 王唯翔 程炼等译, 金融工程丛书 ,

机械工业出版社,2002, 7-111-16409-1

 

[133] Patrick Bolton and Mathias Dewatripont, Contract Theory, MIT Press, 2005.

ISBN 0-262-02576-0, $65.00/￡41.95 (CLOTH)

 

[134] Kim C. Border, Fixed Point Theorems with Applications to Economics and Game Theory,

Cambridge University Press, 1989. ISBN: 0521388082

 

[135] Ralph Tyrell Rockafellar, Convex Analysis, (Princeton Landmarks in Mathematics and Physics),

Princeton University Press, 1996. ISBN: 0691015864

 

[135] James Dugundji and Andrzej Granas, Fixed Point Theory, Springer, 2003. ISBN: 0387001735

 

[136] Kenneth L. Judd, Numerical Methods in Economics, MIT Press, 2002. ISBN 0-262-10071-1

 

[137] H Kunita, Stochastic Analysis on Infinite Dimensional Spaces, Chapman & Hall/CRC, 1994.

ISBN: 0582244900

 

[138] Kim C. Border, Fixed Point Theorems with Applications to Economics and Game Theory

Cambridge University Press, 1989. ISBN: 0521388082

 

[139] Moorad Choudhry, Fixed Income Markets: Instruments, Applications, Mathematics, Wiley Asia, 2004.

 

[140] Oliver Hart, Firms, Contracts, and Financial Structure (Clarendon Lectures in Economics),

Oxford University Press, 1995. ISBN: 0198288816

 

[141] A. Ziegler, A Game Theory Analysis of Options, Corporate Finance and Financial Intermedition in

Continuous Time, 2nd edition, Springer-Verlag, 2004. ISBN: 354020668x

 

[142] Benth, Fred E., Option Theory with Stochastic Analysis,An Introduction to Mathematical

Finance, Series: Universitext, Springer, 2004. ISBN: 3-540-40502-X

 

[143] Chung, K. L., AitSahlia, Farid, Elementary Probability Theory With Stochastic Processes and

an Introduction to Mathematical Finance, Series: Undergraduate Texts in Mathematics ,

4th ed., Springer, 2003. ISBN: 0-387-95578-X

 

[144] Cyganowski, Sasha, Kloeden, Peter, Ombach, Jerzy, From Elementary Probability to

Stochastic Differential Equations with MAPLE, Series: Universitext, Springer, 2002. ISBN: 3-540-42666-3

 

[145] Dana, Rose-Anne, Jeanblanc, Monique, Financial Markets in Continuous Time,

Series: Springer Finance, Springer, 2003. ISBN: 3-540-43403-8

 

[146] Back, Kerry, A Course in Derivative Securities,Introduction to Theory and Computation,

Series: Springer Finance, Springer,2005. ISBN: 3-540-25373-4

 

[147] Meucci, Attilio, Risk and Asset Allocation, Series: Springer Finance,

Springer, 2005. ISBN: 3-540-22213-8

 

[148] Frittelli, Marco, Biagini, Sara, Scandolo, Giacomo, Duality in Mathematical Finance,

Series: Springer Finance, Springer, 2007. ISBN: 3-540-40108-3

 

[149] Asmussen, Soren, Glynn, Peter W., Stochastic Simulation, Algorithms and Analysis,

Series: Stochastic Modelling and Applied Probability , Preliminary entry 100 ,

Springer, 2006. SBN: 0-387-30679-X

 

[150] Philip Protter, Stochastic Integration and Differential Equations, Third Edition,

Springer-Verlag, Heidelberg, 2005. ISBN 3-540-50996-8 and 0-387-50996-8

 

[151] Charles Tapiero, Risk and Financial Management: Mathematical and Computational

Methods, Wiley 2004. ISBN: 0-470-84908-8

 

[152] Robert D. Cook, David S. Malkus, Michael E. Plesha, Robert J. Witt, Concepts and

Applications of Finite Element Analysis, 4th Edition, Wiley 2001. ISBN: 0-471-35605-0

 

[153] Paolo Brandimarte, Numerical Methods in Finance and Economics: A MATLAB-Based

Introduction, 2nd Edition, Wiley 2006. ISBN: 0-471-74503-0

 

[154] Leonard D. Berkovitz, Convexity and Optimization in Rn, Wiley 2001.

ISBN: 0-471-35281-0

 

[155] Eric M. Vestrup, The Theory of Measures and Integration, Wiley 2003.

ISBN: 0-471-24977-7

 

[156] David Williams, Probability with Martingales (Cambridge Mathematical Textbooks),

Cambridge University Press, 1991. ISBN: 0521406056

 

[156] Jean-Jacques Laffont, David Martimort, The Theory of Incentives:

The Principal-Agent Model, Princeton Univ Press, 2001. ISBN: 0691091846

 

[157] Yiannis Moschovakis, Notes on Set Theory (Undergraduate Texts in Mathematics),

Springer, 1994. ISBN: 0387941800

 

[158] S. David Promislow, Fundamentals of Actuarial Mathematics, Wiley, 2006.

ISBN: 0-470-01689-2

 

[159] Peter Cramton, Yoav Shoham, and Richard Steinberg (editors), Combinatorial

Auctions, MIT Press, 2006. ISBN: 0262033429

 

[160] O. C. Zienkiewicz, R. L. Taylor, J.Z. Zhu, The Finite Element Method: Its Basis

and Fundamentals, Sixth Edition, 752 pages, Elsevier Butterworth-Heinemann,

March 21, 2005. $99.95 ISBN: 0750663200

 

[161] O. C. Zienkiewicz, R. L. Taylor, The Finite Element Method for Solid and Structural

Mechanics, Sixth Edition, 736 pages, Elsevier Butterworth-Heinemann, September 20,

2005. $94.95 ISBN: 0750663219

 

[162] O. C. Zienkiewicz, R. L. Taylor, P. Nithiarasu, The Finite Element Method for Fluid

Dynamics, Sixth Edition, 400 pages, Elsevier Butterworth-Heinemann, September 19,

2005. $94.95 ISBN: 0750663227

 

 

[180] Angel de la Fuente, Mathematical Methods and Models for Economists,

Cambridge University Press, 2000. ISBN-10: 0521585295

 

[179] Brenner, Susanne C., Scott, L. Ridgway, The Mathematical Theory of Finite Element Methods,

Series: Texts in Applied Mathematics , Vol. 15, 2nd ed., Springer, 2002. ISBN: 978-0-387-95451-6

 

[178] Jürgen Topper, Financial Engineering with Finite Elements, Wiley Finance Series,

Wiley & Sons, 2005. ISBN-10: 0471486906, ISBN-13: 978-0471486909

 

[177] Daniel J. Duffy, Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach,

Wiley & Sons, 2006. ISBN: 978-0-470-85882-0

 

[176] Zvi Bodie, Robert C. Merton, Finance, Prentice-Hall, 1998.

 

[175] Daniel. Revuz, Marc Yor, Continuous Martingales and Brownian Motion,

Grundlehren der mathematischen Wissenschaften , Vol. 293, 3rd ed. 1999. Corr. 3rd printing,

Springer, 2005, ISBN: 978-3-540-64325-8

 

[174] Lawrence Galitz, Financial Engineering: Tools and Techniques to Manage Financial

Risk. Revised Edition. Pitman Publishing, 1994.

 

[173] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren Der

Mathematischen Wissenschaften), Springer, 1995.

ISBN-10: 3540576223 ISBN-13: 978-3540576228

 

 

[172] D.Braess; Finite Elements. Theory, Fast Solvers and Application in Solid Mechanics.

2nd Edition. Cambridge Univ. Press, Cambridge, 2001

 

[171] S.C. Brenner and L.Ridgway Scott, The Mathematical Theory of Finite Element

Methods. 2nd Edition. Springer, New York, 2002

 

[170] P.G. Ciarlet;The Finite Element Method for Elliptic Problems. Reprint. SIAM,

Philadelphia, 2002

 

[169] Lax, Peter D., Functional Analysis, Wiley Series in Pure and Applied Mathematics,

John Wiley & Sons, 2002. ISBN-10: 0-471-55604-1, ISBN-13: 978-0-471-55604-6

 

[168] Peter James, Option Theory, Wiley Finance, John Wiley & Sons, 2003. ISBN: 0-471-49289-2.

 

[167] Yang Zaifu, Computing Equilibria and Fixed Points: The Solution of Nonlinear

Inequalities, Theory and Decision Library C, Springer, 1998. ISBN: 0792383958

 

[166] Myerson, R., Game Theory: Analysis of Conflict, Harvard University Press, 1991.

 

[165] Fwu-Ranq Chang, Stochastic Optimization in Continuous Time,

Cambridge University Press, 2004. ISBN-10: 0521834066

 

[164] Ravi P. Agarwai, Maria Meehan, DonalO'Regan, Fixed Point Theory and Applications,

Cambridge University Press, 2001. ISBN: 0-521-80250-4

 

[163] Albert N Shiryaev, ESSENTIALS OF STOCHASTIC FINANCE: Facts, Models, Theory,

Advanced Series on Statistical Science and Applied Probability-Vol. 3

World Scientific Publishing, 1999. ISBN

 

张五常（国际知名经济学家，香港大学经济金融学院院长）：

http://zhangwuchang.blog.sohu.com/

http://blog.sina.com.cn/zhangwuchang

http://zhangwuchang.qzone.qq.com

谢国忠（摩根士丹利亚太区首席经济学家）：http://xieguozhong.blog.sohu.com/

沙黾农（证券界资深分析师）：http://shaminnong.blog.sohu.com/

邹恒甫（武汉大学/中央财经大学/北京大学经济学教授）：http://zouhengfu.blog.sohu.com/

徐滇庆（加拿大西安大略大学休伦学院经济系终身教授）：http://xudianqing.blog.sohu.com/

http://blog.sina.com.cn/xudianqing

 

 

汪丁丁（北京大学和浙江大学教授）：http://wang-dingding.blog.sohu.com/

林毅夫（北京大学中国经济研究中心主任，世界银行首席经济学家）：

http://linyifu.blog.sohu.com/

刘伟（北京大学经济学院院长）：http://liuweiblog.blog.sohu.com/

茅于轼（中国当前最有影响的经济学家之一,民间经济学者的重要代表）：

http://maoyushi.blog.sohu.com/

韦森（任教于复旦大学经济学院）：http://veisen.blog.sohu.com/

谢百三（复旦大学金融与资本市场研究中心主任）：http://xiebaisan.blog.sohu.com/

易宪容（中国社科院金融研究所金融发展室主任）：http://yixianrongblog.blog.sohu.com/

姚洋（北京大学经济学教授）：http://yaoyangblog.blog.sohu.com/

夏业良( 北京大学经济学院教授)：http://xiayeliang.blog.so