Financial Mathematics

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

Elias M.Stein，Rami Shakarchi, Real Analysis：Measure Theory，Integration and Hilbert Spaces，实分析(英文版)

《数学分析八讲》辛钦

☆《数学分析新讲》张筑生，北大社 周民强，实变函数论，北大

☆周民强《数学分析》上海科技社

○测度论（与实变分析有重叠）

概率与测度论（英文版）（美）阿什（Ash.R.B.），(美)多朗-戴德（Doleans-Dade,C.A.）

☆Halmos，Measure Theory，测度论(英文版)（德）霍尔姆斯

○傅里叶分析（实变分析和小波分析各有一半）

小波分析导论（美）崔锦泰  

H. Davis, Fourier Series and Orthogonal Functions

★Folland，Real Analysis：Modern Techniques and Their Applications  

★Folland，Fourier Analysis and its Applications，数学物理方程：傅里叶分析及其应用（英文版）——时代教育.国外高校优秀教材精选 （美）傅兰德

傅里叶分析（英文版）——时代教育•国外高校优秀教材精选 （美）格拉法科斯

B. B. Hubbard, The World According to Wavelets: The Story of a Mathematical Technique in the Making

Katanelson，An Introduction to Harmonic Analysis

R. T. Seeley, An Introduction to Fourier Series and Integrals

★Stein，Shakarchi，Fourier Analysis：An Introduction

○复分析（数学本科复变函数水平）

L. V. Ahlfors, Complex Analysis ，复分析——华章数学译丛，（美）阿尔福斯（Ahlfors,L.V.）

★Brown，Churchill，Complex Variables and Applications Convey, Functions of One Complex Variable Ⅰ&Ⅱ

《简明复分析》龚升, 北大社

Greene，Krantz，Function Theory of One Complex Variable

Marsden，Hoffman，Basic Complex Analysis

Palka，An Introduction to Complex Function Theory

★W. Rudin, Real and Complex Analysis 《实分析与复分析》鲁丁（公认标准教材，最好有测度论基础）

Siegels，Complex Variables

Stein，Shakarchi，Complex Analysis 《复变函数》庄坼泰

●泛函分析（资产组合的价值）

○基础泛函分析（实变函数、算子理论和小波分析）

实变函数与泛函分析基础，程其囊，高教社

★Friedman，Foundations of Modern Analysis

《实变与泛函》胡适耕

《泛函分析引论及其应用》克里兹格 泛函分析习题集（印）克里希南　

Problems and methods in analysis，Krysicki

夏道行，泛函分析第二教程，高教社

★夏道行，实变函数与泛函分析

《数学分析习题集》谢惠民，高教社

泛函分析•第6版（英文版）  K.Yosida

《泛函分析讲义》张恭庆，北大社

○高级泛函分析（算子理论）

J.B.Conway, A Course in Functional Analysis，泛函分析教程(英文版)

★Lax，Functional Analysis

★Rudin，Functional Analysis，泛函分析（英文版）[美]鲁丁 （分布和傅立叶变换经典，要有拓扑基础）

Zimmer，Essential Results of Functional Analysis

○小波分析

Daubeches，Ten Lectures on Wavelets

★Frazier，An Introduction to Wavelets Throughout Linear Algebra Hernandez，

《时间序列的小波方法》Percival

★Pinsky，Introduction to Fourier Analysis and Wavelets

Weiss，A First Course on Wavelets

Wojtaszczyk，An Mathematical Introduction to Wavelets Analysis

●微分方程（期权定价、动态分析）

○常微分方程和偏微分方程（微分方程稳定性，最优消费组合）

V. I. Arnold, Ordinary Differential Equations，常微分方程（英文版）（现代化，较难）

★W. F. Boyce, R. C. Diprima, Elementary Differential Equations and Boundary Value Problems

《数学物理方程》陈恕行，复旦

E. A. Coddington, Theory of ordinary differential equations

A. A. Dezin, Partial differential equations

L. C. Evans, Partial Differential Equations

丁同仁《常微分方程教程》高教

《常微分方程习题集》菲利波夫，上海科技社

★G. B. Folland, Introduction to Partial Differential Equations

Fritz John, Partial Differential Equations

《常微分方程》李勇

☆The Laplace Transform: Theory and Applications，Joel L. Schiff（适合自学）

G. Simmons, Differntial Equations With Applications and Historecal Notes

索托梅约尔《微分方程定义的曲线》

《常微分方程》王高雄，中山大学社

《微分方程与边界值问题》Zill  

○偏微分方程的有限差分方法（期权定价）

福西斯，偏微分方程的有限差分方法

★Kwok，Mathematical Models of Financial Derivatives（有限差分方法美式期权定价）

★Wilmott，Dewynne，Howison，The Mathematics of Financial Derivatives （有限差分方法美式期权定价）

○统计模拟方法、蒙特卡洛方法Monte Carlo method in finance（美式期权定价）

★D. Dacunha-Castelle, M. Duflo， Probabilités et Statistiques II

☆Fisherman，Monte Carlo Glasserman，Monte Carlo Mathods in Financial Engineering（金融蒙特卡洛方法的经典书，汇集了各类金融产品）

☆Peter Jaeckel，Monte Carlo Methods in Finance（金融数学好，没Glasserman的好）

★D. P. Heyman and M. J. Sobel, editors，Stochastic Models, volume 2 of Handbooks in O. R. and M. S., pages 331-434. Elsevier Science Publishers B.V. (North Holland)

Jouini，Option Pricing，Interest Rates and Risk Management

★D. Lamberton, B. Lapeyre, Introduction to Stochastic Calculus Applied to Finance（连续时间）

★N. Newton，Variance reduction methods for diffusion process :

★H. Niederreiter，Random Number Generation and Quasi-Monte Carlo Methods. CBMS-NSF Regional Conference Series in Appl. Math. SIAM

★W.H. Press and al.，Numerical recepies.

★B.D. Ripley. Stochastic Simulation

★L.C.G. Rogers et D. Talay, editors， Numerical Methods in Finance. Publications of the Newton Institute.

★D.V. Stroock, S.R.S. Varadhan， Multidimensional diffusion processes

★D. Talay，Simulation and numerical analysis of stochastic differential systems, a review. In P. Krée and W. Wedig, editors, Probabilistic Methods in Applied Physics, volume 451 of Lecture Notes in Physics, chapter 3, pages 54-96.

★P.Wilmott and al.，Option Pricing (Mathematical models and computation).

Benninga，Czaczkes，Financial Modeling

○数值方法 、数值实现方法

Numerical Linear Algebra and Its Applications，科学社

K. E. Atkinson, An Introduction to Numerical Analysis

R. Burden, J. Faires, Numerical Methods

《逼近论教程》Cheney

P. Ciarlet, Introduction to Numerical Linear Algebra and Optimisation, Cambridge Texts in Applied Mathematics

A. Iserles, A First Course in the Numerical Analysis of Differential Equations, Cambridge Texts in Applied Mathematics

《数值逼近》蒋尔雄

《数值分析》李庆杨，清华

《数值计算方法》林成森

J. Stoer, R. Bulirsch, An Introduction to Numerical Analysis

J. C. Strikwerda, Finite Difference Schemes and Partial Differential Equations

L. Trefethen, D. Bau, Numerical Linear Algebra

《数值线性代数》徐树芳，北大

其他（不必）

《数学建模》Giordano

《离散数学及其应用》Rosen

《组合数学教程》Van Lint

◎几何学和拓扑学 （凸集、凹集）

●拓扑学

○点集拓扑学

★Munkres，Topology：A First Course《拓扑学》James R.Munkres  

Spivak，Calculus on Manifolds      

◎代数学（深于数学系高等代数）（静态均衡分析）

○线性代数、矩阵论（资产组合的价值）

M. Artin，Algebra

Axler, Linear Algebra Done Right

★Curtis，Linear Algeria：An Introductory Approach

W. Fleming, Functions of Several Variables  

Friedberg, Linear Algebra Hoffman & Kunz, Linear Algebra

P.R. Halmos，Finite-Dimensional Vector Spaces（经典教材，数学专业的线性代数，注意它讲抽象代数结构而不是矩阵计算，难读）

J. Hubbard, B. Hubbard, Vector Calculus, Linear Algebra, and Differential Forms: A Unified Approach

N. Jacobson，Basic Algebra Ⅰ&Ⅱ

☆Jain《线性代数》

Lang，Undergraduate Algeria

Peter D. Lax，Linear Algebra and Its Applications（适合数学系）

G. Strang, Linear Algebra and its Applications（适合理工科，线性代数最清晰教材，应用讲得很多，他的网上讲座很重要）

●经济最优化

Dixit，Optimization in Economic Theory

●一般均衡

Debreu，Theory of Value

●分离定理

★Hildenbrand，Kirman，Equilibrium Analysis（均衡问题一般处理）

★Magill，Quinzii，Theory of Incomplete Markets（非完备市场的均衡）

★Mas-Dollel，Whinston，Microeconomic Theory（均衡问题一般处理）

★Stokey，Lucas，Recursive Methods in Economic Dynamics（一般宏观均衡）

◎概率统计

●概率论（金融产品收益估计、不确定条件下的决策、期权定价）

○基础概率理论（数学系概率论水平）

★《概率论》（三册）复旦

Davidson，Stochastic Limit Theory

Durrett，The Essential of Probability，概率论第3版（英文版）

★W. Feller，An Introduction to Probability Theory and its Applications概率论及其应用（第3版）——图灵数学•统计学丛书

《概率论基础》李贤平，高教

G. R. Grimmett, D. R. Stirzaker, Probability and Random Processes

☆Ross，S. A first couse in probability，中国统计影印版；概率论基础教程（第7版）——图灵数学•统计学丛书（例子多）

☆《概率论》汪仁官，北大

王寿仁，概率论基础和随机过程，科学社

☆《概率论》杨振明，南开，科学社

○基于测度论的概率论

测度论与概率论基础，程式宏，北大

★D. L. Cohn, Measure Theory

Dudley，Real Analysis and Probability

★Durrett，Probability：Theory and Examples

Jacod，Protter，Probability Essentials Resnick，A Probability Path

★Shirayev，Probability

严加安，测度论讲义，科学社

★钟开莱，A Course in Probability Theory

○随机过程微积分Introduction of diffusion processes (期权定价)

K. L. Chung, Elementary Probability Theory with Stochastic Processes

Cox，Miller，The Theory of Stochastic

★R. Durrett, Stochastic calculus

★黄志远，随机分析入门

黄志远 《随机分析学基础》科学社

姜礼尚，期权定价的数学模型和方法，高教社  

《随机过程导论》Kao

Karlin，Taylor，A First Course in Stochastic Prosses（适合硕士生）

Karlin，Taylor，A Second Course in Stochastic Prosses（适合硕士生）

随机过程，劳斯，中国统计

☆J. R. Norris，Markov Chains（需要一定基础）

★Bernt Oksendal, Stochastic differential equations（绝佳随机微分方程入门书，专注于布朗运动，比Karatsas和Shreve的书简短好读，最好有概率论基础，看完该书能看懂金融学术文献，金融部分没有Shreve的好）

★Protter，Stochastic Integration and Differential Equations（文笔优美）

★D. Revuz, M. Yor, Continuous martingales and Brownian motion（连续鞅）

Ross，Introduction to probability model（适合入门）

★Steel，Stochastic Calculus and Financial Application（与Oksendal的水平相当，侧重金融，叙述有趣味而削弱了学术性，随机微分、鞅）

☆《随机过程通论》王梓坤，北师大

○概率论、随机微积分应用（连续时间金融）

Arnold，Stochastic Differential Equations

☆《概率论及其在投资、保险、工程中的应用》Bean

Damien Lamberton,Bernard Lapeyre. Introduction to stochastic calculus applied to finance.

David Freedman.Browian motion and diffusion.

Dykin E. B. Markov Processes.

Gihman I.I., Skorohod A. V.The theory of Stochastic processes基赫曼，随机过程论，科学

Lipster R. ,Shiryaev A.N. Statistics of random processes.

★Malliaris，Brock，Stochastic Methods in Economics and Finance

★Merton，Continuous-time Finance

Salih N. Neftci，Introduction to the Mathematics of Financial Derivatives

☆Steven E. Shreve ，Stochastic Calculus for Finance I: The Binomial Asset Pricing Model；II: Continuous-Time Models（最佳的随机微积分金融（定价理论）入门书，易读的金融工程书，没有测度论基础最初几章会难些，离散时间模型，比Naftci的清晰，Shreve的网上教程也很优秀）

Sheryayev A. N. Ottimal stopping rules.

Wilmott p., J.Dewynne,S. Howison. Option Pricing: Mathematical Models and Computations.

Stokey，Lucas，Recursive Methods in Economic Dynamics

Wentzell A. D. A Course in the Theory of Stochastic Processes.

Ziemba，Vickson，Stochastic Optimization Models in Finance

○概率论、随机微积分应用（高级）

Nielsen，Pricing and Hedging of Derivative Securities

Ross，《数理金融初步》An Introduction to Mathematical Finance：Options and other Topics

Shimko，Finance in Continuous Time：A Primer

○概率论、鞅论

★P. Billingsley，Probability and Measure

K. L. Chung & R. J. Williams，Introduction to Stochastic Integration

Doob，Stochastic Processes

严加安，随机分析选讲，科学

○概率论、鞅论Stochastic processes and derivative products（高级）

★J. Cox et M. Rubinstein : Options Market

★Ioannis Karatzas and Steven E. Shreve，Brownian Motion and Stochastic Calculus（难读的重要的高级随机过程教材，若没有相当数学功底，还是先读Oksendal的吧，结合Rogers & Williams的书读会好些，期权定价，鞅）

★M. Musiela – M. Rutkowski : (1998) Martingales Methods in Financial Modelling

★Rogers & Williams，Diffusions, Markov Processes, and Martingales: Volume 1, Foundations；Volume 2, Ito Calculus （深入浅出，要会实复分析、马尔可夫链、拉普拉斯转换，特别要读第1卷）

★David Williams，Probability with Martingales（易读，测度论的鞅论方法入门书，概率论高级教材）

○鞅论、随机过程应用

Duffie，Rahi，Financial Market Innovation and Security Design：An Introduction，Journal of Economic Theory

Kallianpur，Karandikar，Introduction to Option Pricing Theory

★Dothan，Prices in Financial Markets （离散时间模型）

Hunt，Kennedy，Financial Derivatives in Theory and Practice

何声武，汪家冈，严加安，半鞅与随机分析，科学社

★Ingersoll，Theory of Financial Decision Making

★Elliott Kopp，Mathematics of Financial Markets（连续时间）

☆Marek Musiela，Rutkowski，Martingale Methods in Financial Modeling（资产定价的鞅论方法最佳入门书，读完Hull书后的首选，先读Rogers & Williams、Karatzas and Shreve以及Bjork打好基础）

○弱收敛与随机过程收敛

★Billingsley，Convergence of Probability Measure

Davidson，Stochastic Limit Theorem

★Ethier，Kurtz，Markov Process：Characterization and Convergence Hall，Martingale Limit Theorems

★Jocod，Shereve，Limited Theorems for Stochastic Process

Van der Vart，Weller，Weak Convergence and Empirical Process

◎运筹学

●最优化、博弈论、数学规划

○随机控制、最优控制（资产组合构建）

Borkar，Optimal control of diffusion processes

Bensoussan，Lions，Controle Impulsionnel et Inequations Variationnelles  

Chiang，Elements of Dynamic Optimization

Dixit，Pindyck，Investment under Uncertainty

Fleming，Rishel，Deterministic and Stochastic Optimal Control

Harrison，Brownian Motion and Stochastic Flow Systems

Kamien，Schwartz，Dynamic Optimization

Krylov，Controlled diffusion processes

○控制论（最优化问题）

●数理统计（资产组合决策、风险管理）

○基础数理统计（非基于测度论）

★R. L. Berger, Cassell, Statistical Inference

Bickel，Dokosum，Mathematical Stasistics：Basic Ideas and Selected Topics

★Birrens，Introdution to the Mathematical and Statistical Foundation of Econometrics

数理统计学讲义，陈家鼎，高教

★Gallant，An Introduction to Econometric Theory

R. Larsen, M. Mars, An Introduction to Mathematical Statistics

☆《概率论及数理统计》李贤平，复旦社

☆Papoulis，Probability，random vaiables，and stochastic process

☆Stone，《概率统计》

★《概率论及数理统计》中山大学统计系，高教社

○基于测度论的数理统计(计量理论研究)

Berger，Statistical Decision Theory and Bayesian Analysis

陈希儒，高等数理统计

★Shao Jun，Mathematical Statistics

★Lehmann，Casella，Theory of Piont Estimation

★Lehmann，Romano，Testing Statistical Hypotheses

《数理统计与数据分析》Rice

○渐近统计

★Van der Vart，Asymptotic Statistics

○现代统计理论、参数估计方法、非参数统计方法

参数计量经济学、半参数计量经济学、自助法计量经济学、经验似然

统计学基础部分

1、《统计学》《探索性数据分析》 David Freedman等，中国统计 （统计思想讲得好）

2、Mind on statistics 机械工业 （只需高中数学水平）

3、Mathematical Statistics and Data Analysis 机械工业 （这本书理念很好，讲了很多新东西）

4、Business Statistics a decision making approach 中国统计 （实用）

5、Understanding Statistics in the behavioral science 中国统计

回归部分

1、《应用线性回归》 中国统计 （蓝皮书系列，有一定的深度，非常精彩）

2、Regression Analysis by example，（吸引人，推导少）

3、《Logistics回归模型——方法与应用》 王济川 郭志刚 高教 （不多的国内经典统计教材）

多元

1、《应用多元分析》 王学民 上海财大（国内很好的多元统计教材）

2、Analyzing Multivariate Data，Lattin等 机械工业（直观，对数学要求不高）

3、Applied Multivariate Statistical Analysis，Johnson & Wichem，中国统计（评价很高）

《应用回归分析和其他多元方法》Kleinbaum

《多元数据分析》Lattin  

时间序列

1、《商务和经济预测中的时间序列模型》 弗朗西斯著（侧重应用，经典）

2、Forecasting and Time Series an applied approach，Bowerman & Connell（主讲Box-Jenkins(ARIMA)方法，附上了SAS和Minitab程序）

3、《时间序列分析：预测与控制》 Box，Jenkins 中国统计

《预测与时间序列》Bowerman

抽样

1、《抽样技术》 科克伦著（该领域权威，经典的书。不好懂——就算看得懂每个公式，未必能懂它的意思）

2、Sampling: Design and Analysis，Lohr，中国统计（讲了很多很新的方法，不好懂）

软件及其他

1、《SAS软件与应用统计分析》 王吉利 张尧庭 主编 （好书）

2、《SAS V8基础教程》 汪嘉冈编 中国统计（主要讲编程，没怎么讲统计）

3、《SPSS11统计分析教程（基础篇）（高级篇）》 张文彤 北京希望出版社

4、《金融市场的统计分析》 张尧庭著 广西师大（言简意赅）

◎经济和金融数学

◎计量经济学，时间序列分析（回归分析（用于套期保值分析），多元分析（主成份分析和因子分析（用于风险管理）））  

John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, and Andrew Y. Lo ，The Econometrics of Financial Markets（金融经济学简明教材，不涉及宏观金融（宏观和货币经济学），不好读，需要一定经济学和金融学基础，水平没有Duffie和Cochrane的高）

★John H. Cochrane，Asset Pricing（易读，写法现代，需要必要金融经济学基础，读后可以看懂该领域论文，想学金融数学还是读Duffie的吧）

☆Russell Davidson，Econometric Theory and Methods （讲得最清晰的中级书，比格林的好读得多，虽然没林文夫的经典）

★Darrell Duffie，Dynamic Asset Pricing Theory（连续时间动态规划，虽然易读还是最好有泛函分析、测度论、随机微积分和向量空间优化知识基础，没有Hull的好读）

★Golderberg，A Course in Econometrics

☆William H. Greene ，Econometric Analysis（中级，应用计量经济学经典，难读，重点不突出，适合做参考书）

☆Gujarati，计量经济学（初级经典，易读但有点老旧）

☆林文夫Fumio Hayashi，Econometrics（中级，理论计量经济学经典，头两章重要，要一定数学基础和良师导读，比格林书易读）

Helmut Lütkepohl，Markus Krātzig，Applied Time Series Econometrics，《应用时间序列计量经济学》

Ian Jacques，Mathematics for Economics and Business，《商务与经济数学》

B. Jerkins，Time Series Analysis：Forecasting & Control

☆Peter Kennedy, A Guide to Econometrics（绝佳初级教材，通俗易懂，不次于伍德里奇的《现代方法》） 皮特，《计量经济学指南》

☆平狄克《计量经济模型与经济预测》Econometric Models and Economic Forecasts  

平狄克《不确定性下的投资》

Roger Myerson, Curt Hinrichs, Probability Models for Economic Decision，《经济决策的概率模型》

★J. H. Stock, M. W. Watson, Introduction to Econometrics

A. H. Studenmund，Introductory Econometrics with Applications，《应用计量经济学》（基础性）

T. J. Watsham, K. Parramore《金融数量方法》  

★Jeffrey Wooldridge，Introductory Econometrics: A Modern Approach （初级，不侧重数学推理，可自学，适合经济类专业，不适合统计专业，Kennedy的书不次于它，古扎拉底的书比它深一些）

☆Wooldridge 伍德里奇，Econometric Analysis of Cross Section and Panel Data 《横截面与面板数据的计量经济学分析》（微观计量理论的经典，Green和Hayashi两本书的补充，需要初级或中级基础，易读）

邵宇《微观金融学及其数学基础》清华社

○时间序列建模、时间序列分析及其算法研究

McKenzie，Research Design Issues in Time-Series Modeling of Financial Market Volatility

Watsham，Parramore，Quantitative Methods in Finance

○数理金融学Econometrics of Finance

Abramowitz，Stegun，Handbook of Mathematical Functions

Briys，Options，Futures and Exotic Derivatives

★Brockwell, P. and Davis, Time series : theory and methods

☆《金融计量经济学导论》克里斯•布鲁克斯（Chris Brooks）

★Campbell, J.Y., A.W. Lo and A.C. MacKinlay, The econometrics of financial markets（消费的资本资产定价模型）

Cox，Huang，Option Pricing and Application，Frontiers of Financial Theory

Dempster，Pliska，Mathematics of Derivative Securities

☆Walter Enders, Applied Econometric Time Series（时间序列分析绝佳入门书，比汉密尔顿的经典易读得多）

★Gourieroux, G., ARCH models and financial applications

★James Douglas Hamilton, Time series analysis《时间序列分析》汉密尔顿（时间序列经典，侧重理论技术，不适合初学，需要一定基础，统计和经济都可用）

★Hamilton, J. and B. Raj, (Eds), Advances in markov switching models

Karatzas，Lectures on the Mathematics of Finance

★Lardic S., V. Mignon, Econométrie des séries temporelles macroéconomiques et financières. Economica.

★《连续时间金融》罗伯特•莫顿（Robert Merton）Continuous time finance

★Mills, T.C., The econometric modelling of financial time series

★Muselia，Rutkowski，Martingale Models in Financial Modeling（连续时间、期权定价）

★Pliska，Introduction to Mathematical Finance：Discrete Time Models（离散时间模型高级教材） 数理金融学引论——离散时间模型

★Reinsel, G., Elements of multivariate time series analysis

《金融数学》Stampfli

☆Ross，An Introduction to Mathematical Finance：Options and other Topics, Ross S. M., 《数理金融初步》罗斯(Sheldon M.Ross)（投资组合）

Schachermayer，Introduction to the Mathematics of Financial Markets

★Tsay, R.S., Analysis of financial time series《金融时间序列分析》蔡瑞胸(Ruey S.Tsay)（美）

软件：

1、EViews

2、SAS

◎微观经济学

★马斯•科莱尔《微观经济学》Andreu Mas-Colell Green, Microeconomic Theory （高级顶尖，微观的百科全书。一般均衡讲得好，适合学完微分方程、实分析和线性代数的经济系学生，商科学生能大部分领会就很可以啦。博弈论部分要结合Kreps书和Tirole《产业组织理论》来看）

☆《高级微观经济理论》Advanced Microeconomic Theory杰里/瑞尼 Geoffrey A. Jehle / Philip J. Reny （高级入门，前半部分写得好，仅次于范里安，博弈论一般但简洁。没有马斯科莱尔的全面和艰深，简洁准确易懂，两书相得益彰。比范里安和尼科尔森的分析深入，不想复杂地学高微就用它吧）

☆A Course in Microeconomic，David M. Kreps（高级，侧重博弈论方法，其他一般，写法轻松而严谨欠缺，马斯科莱尔的补充）

★曼昆《经济学原理》(初级)

☆Walter Nicholson etl，Microeconomic Theory: Basic Principles and Extensions（让你很容易地掌握和爱上微观，中级平狄克向高级马斯科莱尔的过渡，博弈论薄弱些）

★平狄克Robert Pindyck《微观经济学》Microeconomics（中级，通俗简单，涉及了微观的各个方面，如博弈论和定价策略。适合初学，侧重应用，数学与理论分析偏少，让人知其然但不知其所以然。作为中级薄弱一些，适合商科中级）

★萨缪尔森《经济学》（初级，但数学推理多）

★斯蒂格利茨《经济学》（初级）

★范里安《微观经济学：现代观点》Intermediate Microeconomics: A Modern Approach（中级，数学太少）

★范里安《微观经济学高级教程》（高级基础，太短，用语言而不是数学来解释概念，前半部分好，适合自学，单看意义不大，要先范里安再Kreps再科莱尔）Hal R. Varian，Microeconomic Analysis

☆张五常：《卖桔者言》（入门）

◎宏观经济学

奥伯斯法尔德、若戈夫：《高级国际金融学教程》Foundations of International Macroeconomics by Maurice Obstfeld and Kenneth S. Rogoff（写法还可提高，高级，作者知名，应用和练习很多，比克鲁格曼的难）

★Robert J. Barro, Economic Growth

★Olivier Blanchard布兰查德《宏观经济学》Macroeconomics（适合金融或经济学专业，数学比曼昆的难，有中级代数、三角学及非微积分统计，习题没答案，其他专业还是看曼昆吧。作为中级好像难度大点（当然高级的数学更难），体系清楚）

布兰查德Olivier Jean Blanchard《宏观经济学讲义》Lectures on Macroeconomics（高级）（宏观和货币经济学，作为高级太简单）

Dennis R. Appleyard，Alfred J. Field，《国际经济学》

★多恩布什《宏观经济学》（中级）

☆克鲁格曼《国际经济学》（中级）

☆《经济动态的递归方法》卢卡斯 （高宏最顶尖教材） recursive method in economics dynamics by Robert E. Lucas

★曼昆N. Gregory Mankiw《宏观经济学》Macroeconomics（中级，清晰简明，像他的《原理》尽量简单化，但是没有付出怎会获得？还是布兰查德和多恩布什的专业些，再深的就是罗默了。）

★《高级宏观经济学》戴维.罗默 （高级入门） Advanced Macroeconomics by David Romer（覆盖面广，宏观模型多，分析质量高，数学多解释少，数学可以再简明些，易引起混乱，开放的宏观经济学这本不够，不适合作核心中级课本）  

★萨尔瓦多《国际经济学》

☆萨金特《动态宏观经济理论》（高宏基础教材） Recursive Macroeconomic Theory by Lars Ljungqvist Thomas I. Sargent

萨克斯《全球视角的宏观经济学》

《金融经济学》

◎经济史/经济思想史

《西欧金融史》

《美国经济史》剑桥

《经济分析史》

埃克伦德、赫伯特：《经济理论和方法史》

Roger E. Backhouse，The History of Economic

Stanley L. Brue，The Evolution of Economic Thought，《经济思想史》

斯皮格尔：《经济思想的成长》

《经济学中的分析方法》Akira Takayama

Michael Todaro，Stephen Smith，Economic Development，《发展经济学》

◎金融学

Allen，Santomero，The Theory of Financial Intermediation，Journal of Banking and Finance

★《金融学》 滋维•博迪（Zvi bodie），罗伯特•莫顿（Robert Merton）

★《投资学》滋维•博迪（Zvi bodie），亚历克斯•凯恩（Alex Kane），艾伦•马库斯（Alan Marcus）Investments（资本市场投资、利率及贴现）  

Bodie，Essentials of Investments

Dubofsky，Options and Financial Futures：Valuation and Uses

Dunbar，Invent Money：The Story of Long-Term Capital Management and the Legend behind it

★Erichberger，Harper，Financial Economics

Fabozzi，Foundations of Financial Markets and Institutions

James，Webber，Interest Rate Modiling

★Jarrow，Finance Theory

★LeRoy，Werner，Principals of Financial Economics（均值方差方法）

★马杜拉《金融市场和结构》

Malkiel，A Random Walk Down Wall Street

Mayer，Money，Banking and the Economy 梅耶《货币、银行与经济》

McMillan，McMillan on Options

Mel’nikov，Financial Market-Stochastic Analysis and the Pricing of Derivative Securities

米什金《货币银行学》

Naftci，Investment Banking，and Securities Trading

Nassim，Taleb，Dynamic Hedging

Pelsser，Efficient Methods for Valuing Internet Rate Derivatives

Ritchken，Theory，Strategy and Applications

Santomero，Financial Markets，Instruments and Institutions

Saunders，Financial Institutions Management：A Modern Perspective

★《投资学》威廉•F•夏普（William F.Sharpe），戈登•J•亚历山大（Gordon J.Alexander），杰弗里•V•贝利（Jeffery V.Bailey）Investments（资本市场投资、利率及贴现）

Shefrin，Behavioral Finance

《货币理论与政策》Carl E. Walsh

Willmott，Dewynne，Howison，The Mathematics of Financial Deribatives

Zhang，Exotic Options

公司金融

Bernstein，Capital Idea：The Improbable Origins of Modern Wall Street

Scott Besley, Eugene F. Brigham, Essentials of Managerial Finance《财务管理精要》

Richard A. Brealey, Stewart C. Myers, Principles of Corporate Finance《公司财务原理》

Brennan，The Theory of Corperate Finance

Burroughs，Helyar，Barbarians in the Gate：The Fall of RJR Nabisco

Copeland，Financial Theory and Corporate Policy

Damodaran，Applied Corporate Finance：A User’s Manual

Damodaran，Corporate Finance：Theory and Practice

Emery，Finnerty，Corporate Financial Management

☆《公司理财》斯蒂芬•A.罗斯（Stephen A.Ross），罗德尔福W.威斯特菲尔德（Radolph W.Wdsterfield），杰弗利F.杰富（Jeffrey F.Jaffe）

☆《公司金融理论》让•梯若尔（Jean Tirole）

Valuation：Measuring and Managing the Value of Companies

1.理论金融

资产定价:

★Duffie，Futures Markets（远期合约和期货合约）

Duffie: security market

★《金融经济学基础》黄奇辅（Chi-fu Huang），罗伯特•鲍勃•李兹森伯格（Robert H. Litzenberger）Foundation for financial economics

★Ingersoll: Theorey of financial decision making

Ross: Neoclassical Finance

证券承销：

公司并购：

　　2.入门和综合类

Amman: Credit risk valuation

★Baxter M., Rennie A., Financial Calculus : An Introduction to Derivative Pricing（金融工程必读书，循序渐进地介绍随机微积分，金融偏微分方程还是看Willmott吧，侧重理论，仅需基本的微积分和概率论基础）《金融数学衍生产品定价导论》

Bielecki, Rutkowski: Credit Risk : Modeling , Valuation and Hedging

★Tomas Bjork: Arbitrage theory in continuous time（Hull的后续中级书，连续时间、期权定价）

Cvitanic, Zapatero: Introduction to the economics and mathematics of financial markets

★Dana，Jeanblanc，Financial Markets in Continuous Time（连续时间）

Duffie Singleton: Credit Risk

★Elliott, Kopp: Mathematics of Financial markets

★Fouque，Papanicolau，Derivatives in Financial Markets with Stochastic Volatility（随机波动率）

★Gourieroux，ARCH Models and Financial Applications（ARCH模型和GARCH模型）

★Harris:Trading and Exchanges: Market Microstructure for Practitioners（详述不同类型证券交易）

★Options, Futures, and Other Derivatives《期权、期货和其他衍生品》约翰•赫尔(John C.Hull） （衍生品和数理金融初级经典教材，期货和期权市场组织、远期合约和期货合约、期权定价、期权交易）

Hull，J. C.，Risk Management and Financial Insititutions《风险管理与金融机构》

★Karatzas Shreve: Methods of mathematical finance（美式期权、随机微分、连续时间动态规划、鞅、连续时间模型高级教材）

☆Lawrence G. McMillan，Options as a Strategic Investment

Rrederic S. Mishkin, Financial Markets and Institutions《金融市场与金融机构》

★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)

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

法博齐Fabozzi的书：

★Bond Markets : Analysis and Strategies（固定收益债券、利率衍生产品）

★Capital Markets，Institutions and Instruments（市场组织）

Collateralized Debt Obligations: Structures and Analysis

Fixed Income Mathematics

Fixed Income Securities

Handbook of Mortgage Backed Securities

Interest Rate, Term Structure, and Valuation Modeling

The Handbook of Fixed Income Securities,

投资管理学

　　4:其他类 Rebonato的书:

　　Volatility and Correlation : The Perfect Hedger and the Fox

　　Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and

Beyond

　　Interest-Rate Option Models : Understanding, Analysing and Using Models

for Exotic Interest-Rate Options

　　GENCAY: An Introduction to High-Frequency Finance

　　O’Hara:Market Microstructure Theory

重要著作（不必须。现在已经很少有人会去通篇研读18、19世纪的那些宏伟著作了。）：

☆《经济表》弗朗斯瓦•魁奈

《英国得自对外贸易的财富》托马斯•孟

《休谟经济论文选》大卫•休谟

☆《国富论》《道德情操论》亚当•斯密

《人口原理》 托马斯•罗伯特•马尔萨斯

《政治经济学概论》 让•巴蒂斯特•萨伊

《政治经济学原理》麦克库洛赫

☆《赋税论》《政治算术》《货币略论》威廉•配第

☆《管子》

☆《政治经济学及赋税原理》 大卫•李嘉图

☆《政治经济学新原理》 西蒙•德•西斯蒙第

《政治经济学的国民体系》 弗里德里希•李斯特

《政治经济学原理》 约翰•斯图亚特•穆勒

☆《资本论》 卡尔•马克思

☆《反杜林论》恩格斯

☆《马克思、恩格斯全集》

《政治经济学理论》 威廉•斯坦利•杰文斯

《国民经济学原理》卡尔•门格尔

《纯粹经济学要义》 里昂•瓦尔拉斯

《资本与利息》《资本实证论》 欧根•冯•庞巴维克

《动态经济学》罗伊•福布斯•哈罗德

☆《经济学原理》阿弗里德•马歇尔

☆《联邦通讯委员会》《社会成本问题》《企业、市场和法律》《公司的本质》《财产权利与制度变迁》R•科斯

《资本主义经济制度》奥利弗•威廉姆森

《社会选择与个人价值》阿罗

☆《经济解释》《佃农理论》张五常

《比较制度分析》青木昌彦

☆The Ricardian Theory of Production and Distribution, 《风险、不确定性和利润》弗兰克•奈特  

☆《垄断竞争理论》张伯伦

☆《利率理论》费雪

☆《价格理论》《消费函数理论》《货币数量论另说》《马歇尔需求曲线》《资本主义与自由》 米尔顿•弗里德曼

☆《美国货币史》弗里德曼，施瓦茨

☆《不确定性、进化和经济理论》Some Economics of Property Rights, A•阿尔钦

☆《大学经济学》A•阿尔钦，艾伦

《财产权利与制度变迁——产权学派与新制度学派译文集》R•科斯，A•阿尔钦，道格拉斯•诺斯等

《契约经济学》科斯、哈特、斯蒂格利茨等

☆《经济史中的结构和变迁》《西方世界的兴起》道格拉斯•诺斯

☆《效用理论之发展》《产业组织》乔治•斯蒂格勒

《利息与价格》克努特•维克塞尔

《财富的分配》《经济进步的条件》约翰•贝茨•克拉克

《论财富的分配》乔治•拉姆赛

《有闲阶级论》 托尔斯坦•本德•凡勃伦

《来自竞争的繁荣》路德维希•艾哈德

《经济发展理论》《经济分析史》《资本主义、社会主义和民主主义》约瑟夫•阿罗斯•熊彼特

《短缺经济学》亚诺什•科内尔

☆《福利经济学》阿瑟•赛西尔•庇古

☆《不完全竞争经济学》《现代经济学导论》 琼•罗宾逊

《人类行为的经济分析》《家庭论》加里•S•贝克尔

《经济增长理论》刘易斯

《民主财政论》布坎南

《冲突战略》谢林

《经济发展战略》艾伯特•赫希曼

《比较财政分析》理查德•A•马斯格雷夫

☆《就业、利息和货币通论》《货币论》约翰•梅纳德•凯恩斯

《价值与资本》《经济史理论》 约翰•理查德•希克斯

《通往奴役之路》 哈耶克

《社会主义经济增长理论导论》米哈尔•卡莱斯基

《经济周期理论》卢卡斯

《各国的经济增长》《现代经济增长》库兹涅茨

《经济增长的阶段》罗斯托

《货币均衡论》缪尔达尔

《制度经济学》康芒斯

《经济发展中的货币和资本》罗纳德•I•麦金农

《丰裕社会》《经济学和公共目标》 约翰•肯尼斯•加尔布雷斯

《改造传统农业》《人力资本投资》西奥多•W•舒尔茨

《发展极概念在经济活动一般理论中的新地位》F•佩鲁

《不发达国家的资本形成》R•纳克斯

《经济增长理论》索洛

《经济成长的阶段》 沃尔特•罗斯托

《国家竞争优势》迈克尔•波特

《小的是美好的》舒马赫

《贫困与饥荒》《集体选择与社会福利》《重读亚当•斯密》阿玛蒂亚•森

《经济科学的性质和意义》

《经济学原理》杨小凯

《人力资本投资》 西奥多•威廉•舒尔茨

马克布劳格《经济学方法论》

其他参考书：

Andeson O. D. Editor, Time Series Analysis: Theory and Practice

Bingham N. H., Kiesel R., Risk-Nertral Valuation Pricing and Hedging of Financial Derivatives

Buchan M. J., Convertible Bond Pricing: Theory and Evidence

John Y. Campell，Andrew W. Lo, The Econometrics of Financial Markets

Chen J., Gupta A. K., Parametric Statistical Change Point Analysis

Chow Y. S., Teicher H., Probability Theory: Independence, Interchangeability, Martingales

Christian P. R., George C., Monte Carlo Statistical Methods

Thomas E. Copeland, Finance Theory and Corporate Policy

Csòrgǒ M., Horváth L., Limit Theorems in Change-Point Analysis

Alison Etheridg，金融数学教程（期权定价，鞅）

R. V. 豪格，A. T. 克莱格，数理统计导论

Harrison J. M., Brownian Motion and Stochastic Flow System

Hsiao C., Analysis of Panel Data

Jorion P., Value at Risk: the New Benchmark for Managing Financial Risk

Edward P. C. Kao, An Introduction to Stochastic Processes

Takeaki Kariya, Quantitunive Methods for Portfolio Analysis（证券组合）

Korn R., Optimal Portfolio

Kwok Y. K., Mathematical Models of Financial Derivatives

Levy H., Stochastic Dominance: Investment Decision Making under Uncertainly（投资组合）

Lin X. S., Introductory Stochastic Analysis for Finance

Markowitz H.，Mean-Variance Analysis in Portfolio Choice and Capital Markets（交易成本，投资组合）

Markowitz H.，Portfolio Selection: Efficient Diversification of Investment

Percival D. B., Walden A. T., Wavelet Methods for Time Analysis（小波分析）

Peters E. E., Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

Rosen L. R., The McGraw-Hill Handbook of Interest Yield and Returns

Willmott P., Dewynne J., Option Pricing: Nathematical Model and Computation

◎博弈论

☆《博弈论》 朱•弗登博格 让•梯若尔 （博弈论最顶尖教材） Game Theory by Drew Fudenberg Jean Tirole

☆《博弈论基础》吉本斯 （博弈论基础） A Primer in Game Theory by Roerbt Gibbons 

Jack Hirshleifer, John G. Riley, The Analysis of Uncertainly and Information

Inez Macho-stadler，David Perez-Castrillo J., An Introduction to the Economics of Information: Incentives and Contracts

Laffort Jean-Jacques, The Economics of Uncertainly and Information

迈尔森：《博弈论：矛盾冲突分析》（高级） 

☆《博弈论教程》马丁.J.奥斯本 阿里尔•鲁宾斯坦 （博弈论入门） An Introduction to Game Theory by Martin J.Osborne Ariel Rubinstein 

Richard Watt, An Introduction to the Economics of Information

张维迎，博弈论与信息经济学 （中级）

◎产业组织理论/产业经济学

海、莫瑞斯：《产业经济学与组织》

克拉克森、米勒：《产业组织：理论、证据和公共政策》

☆梯若尔：《产业组织理论》The Theory of Industrial Organization，Jean Tirole（产业组织理论的经典，适合经济系学生，不适合商学院，需要一定代数和博弈论基础，可先读Martin的Advanced Industrial Organisation作为过渡）

◎激励理论/信息经济学

拉丰、马赫蒂摩：《激励理论（第一卷）：委托代理模型》

拉丰、梯若尔：《政府采购与规制中的激励理论》

马可－斯达德勒等：《信息经济学引论：激励和合约》

★Joshi，The Concepts and Practice of Mathematical Finance

★Joshi，C++ Design Patterns and Derivatives Pricing

London，Modeling Derivatives in C++

Meyer的书：

Effective C++

More Effective C++

Effective STL

Saul，Numerical Recipes in C++

◎会计学

基础会计、财务会计、成本会计、财务管理、管理会计、审计、高级会计、经济法与税法

安东尼，《会计学：教程与案例》

海斯，《审计学：基于国际审计准则的视角》

惠廷顿，《审计与其他保证服务》

加里森，《管理会计》

韦安特，《财务会计》

威廉姆斯，《会计学：企业决策的基础》

沃伦，《会计学》

◎制度经济学

《经济学中的制度》

埃格特森：《经济行为与制度》

费吕博腾等：《新制度经济学》

★Jean Tirole《产业组织理论》

《现代制度经济学》，盛洪主编

◎发展经济学

吉利斯、罗默：《发展经济学》

◎公共经济学/财政学

布郎、杰克逊：《公共部门经济学》

☆哈维•罗森：《财政学》

斯蒂格利茨：《公共部门经济学》

◎其他（语言、计算机、文学）

★道格拉斯.R.爱默瑞《公司财务管理》

S. Charles Maurice，Christopher R. Thomas，Managerial Economics，《管理经济学》

Michael R. Czinkota，Illkka A. Ronkainen，《国际商务》

Patrick A Garghan，《兼并、收购与公司重组》Mergers，Acquisitions，and Corporate Restructurings

★菲利普•科特勒《营销管理》

股市趋势技术分析（美）迈吉，（美）巴塞蒂

期货市场技术分析 （美）墨菲

★罗宾斯《管理学》

期货交易技术分析（美）施威格（Schwager,J.D.）

（不必须）

江恩华尔街45年（美）江恩

如何从商品期货交易中获利（美）江恩

克罗谈投资策略——神奇的墨菲法则（美）克罗（Krol,S.）

……

Paul Wilmott Introduces Quantitative Finance, Paul Wilmott, Wiley, 2007

Paul Wilmott on Quantitative Finance, Paul Wilmott, Wiley, 2006

Frequently Asked Questions in Quantitative Finance, Paul Wilmott, Wiley, 2007

The Complete Guide to Option Pricing Formulas, Espen Gaardner Haug, McGraw-Hill, 1997

Derivatives: Models on Models, Espen Gaardner Haug, Wiley, 2007

Monte Carlo Methods in Finance, Peter Jackel, Wiley, 2002

Structured Credit Products: Credit Derivatives and Synthetic Securitisation, Moorad Choudhry, Wiley, 2004

Asset Price Dynamics, Volatility and Prediction, Stephen J. Taylor, Princeton University Press, 2007

A Practical Guide To Quantitative Finance Interviews Xinfeng Zhou.pdf

a primer for mathematics of financial engineering DAN STEFANICA.pdf

Active Portfolio Management-A Quantitative Approach for Providing Superior Returns and Controlling Risk Richard C. Grinold.pdf

Advanced modelling in finance using Excel and VBA mary jackson.pdf

Algorithms for Interviews Amit Prakash.pdf

An introduction to credit risk modeling christian bluhm.pdf

an introduction to econophysics：correlations and complexity in finance ROSARIO N. MANTEGNA.pdf

Backward Stochastic Differential Equations Nonlinear Expectations, Nonlinear Evaluations and Risk Measures 彭实戈.pdf

Bayesian Statistics and Marketing-outline Allenby, McCulloch and Rossi.pdf

black-scholes and beyond Chriss Neil.chm

building financial model JOHN S. TJIA.pdf

Collateralized Debt Obligations-structures and analysis LAURIE S. GOODMAN.pdf

Commodities and Commodity Derivatives-Modeling and Pricing for Agriculturals,Metals and Energy He′ lyette Geman.pdf

Credit Portfolio Management charles smithson.pdf

Derivatives and Internal Models H-P Deutsch.pdf

Dynamics Of Markets-Econophysics And Finance JOSEPH L. McCAULEY.pdf

Economic and Financial Decisions under Risk Louis Eeckhoudt.pdf

Efficient procedures for  valuing European and American Path-dependent Options John Hull and Nan White.pdf

Energy and power risk management A Eydeland & K Wolyniec.pdf

energy derivatives.pdf

Financial Applications Using Excel Add-in Development in CC++ steve dalton.pdf

FINANCIAL DERIVATIVES PRICING, APPLICATIONS, AND MATHEMATICS J Baz & G Chacko.pdf

Financial Engineering with Finite Elements Jurgen Topper.pdf

Financial Engineering With Mathematica Zvi Wiener.pdf

financial engineering with stochastic calculus Jeremy Staum康奈尔大学.pdf

financial mathematics II min dai（新加坡）.pdf

Financial Modeling 3ed simon benninga.pdf

Financial Modeling Under Non-Gaussian Distributions Eric Jondeau, Ser-Huang Poon and Michael Rockinger.pdf

Financial Modelling wit Jump processes R Cont & P Tankov.pdf

Financial Numerical Recipes in C++ Bernt Arne Odegaard.pdf

Finite Difference Methods in Financial Engineering A Partial Differential Equation Approach Daniel J. Duffy.pdf

Forecasting Volatility in Financial Market J Knight & Satchell.pdf

Forward-Backward stochastic differential equations and their applocations 雍炯明.pdf

Frequently Asked Questions in Quantitative Finance solutions paul wilmott.pdf

Guide to Quant Careers2.0 Paul & Dominic.pdf

heard on the street quantitative questions from wall street job interviews timothy falcon crack.pdf

How I Became a quant-Insights From 25 ofWall Street’s Elite Richard R. Lindsey.pdf

How to Detect an Asset Bubble Robert A. Jarrow.pdf

how to lie with statistics中文DARRELL HUFF.pdf

Implementing Derivatives Models Errata les clewlow.pdf

Implementing Derivatives Models I ppt Andreas H. Burgmann.pdf

Implementing Derivatives Models II ppt Andreas H. Burgmann.pdf

Implementing Derivatives Models III ppt Andreas H. Burgmann.pdf

Implementing Derivatives Models les clewlow.pdf

Interest Rate Modeling. Volume 1 Foundations and Vanilla Models Nick Webber, Jessica James.djvu

Interest Rate Modeling. Volume 2 Term Structure Models Nick Webber, Jessica James.djvu

Interest Rate Modeling. Volume 3  Products and Risk Management Nick Webber, Jessica James.djvu

Interest Rate Modelling Simona Svoboda.chm

Interest Rate Models-Theory and Practice-With Smile, Inflation and Credit Damiano Brigo · Fabio Mercurio.pdf

interest-rate option models rebonato.djvu

Introduces Quantitative Finance Paul Wilmott.pdf

Introduction To Mathematical Finance-Discrete Time Models Stanley R. Pliska.pdf

Introduction to Stochastic Calculus for Finance-A New Didactic Approach Dieter Sondermann.pdf

Introduction to the Economics and Mathematics of Financial Markets Jakˇsa Cvitani′，Fernando Zapatero.pdf

Introduction to the Mathematical and Statistical Foundations of Econometrics HERMAN J. BIERENS.pdf

Lecture Note-Stochastic Processes in fnance金融中的随机过程讲义（北大）Liu Jingjun.pdf

Levy Option Pricing Models Theory And Application Kazuhisa Matsuda.pdf

Levy Processes In Finance-Pricing Financial Derivatives Wim Schoutens.pdf

Market Models Carol Alexander.djvu

Market Risk Analysis vol1 Quantitative Methods in Finance Carol Alexander.pdf

Market Risk Analysis vol2 Practical Financial Econometrics Carol Alexander.pdf

Market Risk Analysis vol3 pricing, hedging and trading financial instruments carol alexander.pdf

Market Risk Analysis vol4 value-at-risk models Carol Alexander.pdf

Mathematical techniques in finance-tools in incomplete market Ales Cerny.pdf

modelling financial derivatives with mathematica william t shaw.pdf

Modern Portfolio Theory and Investment Analysis 6th E J Elton.pdf

Modern Portfolio Theory and Investment Analysis 6th Solutions E J Elton.pdf

monetary theory and the trade cycle friedrich a hayek.pdf

More Mathematical Finance Mark Joshi 2011.pdf

My Life as a Quant-Reflections on Physics and Finance Emanuel Derman.pdf

ON BECOMING A QUANT MARK JOSHI.pdf

Principles of Financial Engineering 2ed Salih N. Neftci.pdf

Quantitative Risk Management Concepts Alexander J. McNeil.pdf

Random Processes In Physics And Finance MELVIN LAX, WEI CAI, MIN XU.pdf

Real Options Analysis JOHNATHAN MUN.pdf

return Distributions in Finance S Satchell & J Knight.pdf

Risk and Asset Allocation attilio Meucci.pdf

Security Analysis 6ed BENJAMIN GRAHAM 证券分析.pdf

Starting your career as a wall street quant Brett Jiu.pdf

Statistics and Data Analysis for Financial Engineering David Ruppert.pdf

Statistics and Finance-An Introduction David Ruppert.pdf

Statistics of financial markets Jürgen Franke ·Wolfgang K. H?rdle Christian M. Hafner.pdf

Structured Credit Portfolio Analysis, Baskets & CDOs Christian Bluhm.pdf

Structured Finance Modeling with Object-Oriented VBA Evan Tick.chm

The Analysis of Structured Securities-Precise Risk Measurement and Capital Allocation SYLVAIN RAYNES.pdf

The Knockout Formula for Finding Great Investments PAT DORSEY.pdf

The Little Book That Beats the Market Joel Greenblatt.pdf

The Quants scott patterson.pdf

the winner’s circle r j shook.pdf

Tools for Computational Finance 3rd R Seydel.pdf

Value At Risk Philippe Jorion.pdf

vault guide to advanced finance and quantitative interviews.pdf

休谟经济论文选.pdf

华尔街点金人(新金融怪杰)Jack D. Schwager.pdf

博弈论与信息经济学 张维迎.pdf

宋逢明 金融工程原理-无套利均衡分析.pdf

对冲基金手册中文版Stefano Lavinia.pdf

微观经济的数理分析 胡适耕.pdf

投入产出分析 刘起运.pdf

数学金融学 雍炯敏.pdf

期权定价推导讲义.pdf

期权定价的数学模型和方法 姜礼尚.pdf

概率，金融与保险（英文－香港大学）.pdf

理财学与数学 v1.0 丁建华 清华水木.pdf

经济学的思维方式 中文版.pdf

经济数学家手册.pdf

经济数学方法与模型 angel de la fuente.pdf

股市奇才：美国股市精英访谈录 jack d schwager.pdf

西方经济学 黎诣远.pdf

计量经济学—贝叶斯推断引论 arnold zellner.pdf

计量经济学课件 郑挺国 厦大.pdf

证券分析 6ed 本杰明 格雷厄姆.djvu

说谎者的扑克牌Michael Lewis.pdf

金融中的倒向随机微分方程 彭实戈等 英文.pdf

金融工程 免试 问答大全 interviews.pdf

金融工程家论坛 文件.pdf

金融经济学十讲 史树中.文字版.pdf

金融经济学基础 robort litzenberger宋逢明译.pdf

金融经济学导论 王江.pdf

高手过招 郑振龙、方建兴.pdf

高级计量经济学 洪永淼 讲义.pdf

RiskMetrics Technical Document J.P.Morgan Reuters

杨小凯

货币论 keynes

金融数学引论 北大 课件

随机金融基础 俄罗斯 Shiryaev

10000个科学难题 数学卷.pdf

A Course In Functional Analysis Conway.pdf

A Course In Probability Theory 钟开莱.pdf

A First course in abstract algebra 3ed JOSEPH J.ROTMAN.pdf

A First Course In Stochastic Processes A Second Course In Stochastic Processes samuel Karlin.pdf

A First Course on Time Series Analysis-Examples with SAS Chair of Statistics, University of Wurzburg.pdf

A First Course on Wavelets  E. Hernandez, G. Weiss.pdf

A Handbook of Statistical Analyses using SAS Geoff Der.pdf

A Handbook of Statistical Analyses Using SPSS Sabine Landau Brian S. Everitt.pdf

A Handbook of Statistical Analyses using Stata Sophia Rabe-Hesketh Brian Everitt.pdf

A Mathematical Introduction To Control Theory Engelberg.pdf

A wavelet tour of signal processing Stéphane Mallat.pdf

Absolute Beginner’s Guide to VBA Paul McFedries.chm

Absolute C++ walter savitch 2ed.pdf

Absolute C++ 中文 walter savitch 2ed.pdf

Advanced Calculus with Applications in Statistics Andre I. Khuri.pdf

Adventures of a Mathematician (1976) Stanislaw Ulam.djvu

algebraic graph theory NORMAN BIGGS.pdf

Algorithms, Data Structures, and Problem Solving with C++ Mark Allen Weiss.pdf

An Introduction To Banach Space Theory robert e Megginson.pdf

An Introduction To Measure And Probability j c Taylor.pdf

An Introduction to Multivariate Statistical Analysis 3ed T. W. ANDERSON.djvu

An Introduction To The Mathematical-Theory Of The Navier-Stokes Equations G.P. Galdi.pdf

Analysis And Control Of Nonlinear Infinite Dimensional Systems Viorel Barbu.pdf

Analysis On Fractals Kigami.pdf

Applied Bayesian Modeling peter congdon.pdf

Applied Factor Analysis in the Natural Sciences RICHARD A. REYMENT.pdf

Applied Multivariate Statistical Analysis 6ed richard a johnson.pdf

Applied Time Series-Modelling and Forecasting Richard Harris.pdf

Basic Markov Chains And Martingales Byron Schmuland Schmuland.pdf

Bayes and Empirical Bayes Methods for Data Analysis Bradley P. Carlin.pdf

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Bioinformatics-Managing Scientific Data Zoé Lacroix and Terence Critchlow.pdf

bioinformatics-the machine learning approach生物信息学-机器学习方法 pierre Baldi.pdf

Bootstrap Method A guid for practioners and reseachers MICHAEL R. CHERNICK.pdf

C++ Primer[中文非扫描版]Stanley B Lippman.pdf

C++入门经典(第3版)ivor horton.pdf

C++程序设计_谭浩强·清华大学.pdf

Convergence Of Probability Measures Billingsley.pdf

C程序设计语言（第2版·新版）Dennis M Ritchie.pdf

Data Abstraction and Problem Solving with C++ 3Ed frank m carrano.pdf

Data Analysis Using Regression and Multilevel、Hierarchical Models ANDREW GELMAN.pdf

Data Structures and Algorithms Alfred. Aho.pdf

Design and Modeling for Computer Experiments Kai-Tai Fang Runze Li.pdf

Ergodicity And Stability Of Stochastic Processes a a Borovkov.pdf

Excel 2007 Formulas John Walkenbach.chm

Excel 2007 VBA Programmer Reference john green stephen bullen rob bovey.pdf

Excel 2010 Formulas John Walkenbach.pdf

Excel 2010 Power Programming with VBA John Walkenbach.pdf

excel hacks david raina hawley.pdf

Excel2003应用技巧.CHM

fifty challenging problems in probability with solutions frederick mosteller.pdf

Functional Analysis Lax.pdf

Functional Analysis Rudin.pdf

Functional Analysis Spectral Theory v.s. Sunder.pdf

Functional Ito calculus and stochastic integral representation of martingales Rama Cont泛函Ito微积分与鞅的随机积分表示（英文版）.pdf

Geometric Probability Herbert Solomon.pdf

gnu autoconf David MacKenzie.pdf

Graphical models概率论的图形.pdf

GTM001 Introduction to Axiomatic set theory G. Takeuti w M Zaring.djvu

GTM002 Measure and Category-A Survey of the Analogies between Topological and Measure Spaces .John C Oxtoby测度和范畴：一份关于拓扑空间和测度空间类似的概要.djvu

GTM004 A Course in Homological Algebra P.J. Hilton U.Stammbach.djvu

GTM005 Categories for the Working Math Saunders Mac Lane .djvu

GTM016 The Structure of Fields David Winter .djvu

GTM016 The Structure of Fields David Winter.djvu

GTM018 Measure Theory Paul R. Halmos .djvu

GTM027 General topology John L. Kelley .djvu

Handbook of computational statistics-Concepts and methods J.E.Gentle.pdf

Handbook Of Measure Theory Pap.pdf

Handbook Of Stochastic Methods c w Gardiner.pdf

Intro to Data Management and Programming in SAS Harvard School of Public Health.pdf

Introduction to Cybernetics W. ROSS ASHBY.pdf

Introduction To Functional Analysis Taylor.pdf

Introduction To Martingale Methods In Option Pricing 严家安 鞅用于期权定价.pdf

Introduction to Nonparametric Regression Kunio Takezawa.djvu

Introduction To Stochastic Analysis Z. Qian and J. G. Ying.pdf

Introduction to Stochastic Integration Hui-Hsiung Kuo.pdf

Large deviations and stochastic calculus大随机矩阵的大偏差与随机分析Alice Gnionnet.pdf

Large Random Matrices Lectures On Macroscopic Asymptotics Guionnet.pdf

Latex A Document Preparation System Lamport.pdf

latex in 90 mins Tobias Oetiker.pdf

Latex Notes Alpha Huang.pdf

Latex2e科技排版指南 邓建松.pdf

Latex入门与提高 陈志杰.pdf

Lectures on Stochastic Analysis随机分析讲义 威斯康星大学Thomas G.Kurtz.pdf

letex排版心得 李东风.pdf

Levy Processes And Infinitely Divisible Distributions ken iti Sato.pdf

Lie Theory And Special Functions willard Miller.pdf

Limit Theorems Of Probability Theory Petrov.pdf

Lindo使用手册.pdf

LINDO软件包介绍.pdf

linear Regression Analysis george a e seber alan a lee.pdf

LINGO快速入门.pdf

Local Polynomial Modelling and Its Applications j fan.pdf

Long-Memory Time Series-Theory And Methods Wilfred0 Palma.pdf

Markov Processes Feller Semigroups And Evolution Equations Jan A van Casteren.pdf

martingale limit theory and its applications hall.pdf

Mathematical Principles Of Natural Philosophy Newton.pdf

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mathematical statistics keith knight.pdf

Mathematical Statistics with Applications Kandethody M.Ramachandran.pdf

Mathematical Statistics-Basic Ideas and Selected Topics bickel & Dokosum.djvu

Measure Theory j l Doob.pdf

Microeconomic Theory A Mathematical Approach james e henderson.pdf

Microsoft Office Excel 2007 Visual Basic for Applications Step by Step Reed Jacobson.chm

model-oriented data analysis V. Fedorov H. Lauter.pdf

Monte Carlo Strategies in Scientific Computing jun s liu harvard.pdf

Monte Carlo Strategies in Scientific Computing jun s liu.pdf

More Math Into Latex 7ed George Gratzer.pdf

MS  OFFICE 公式全集 little key.pdf

Multirate and wavelet signal processing Bruce W. Suter.pdf

Multiscale Wavelet Methods for Partial Differential Equations Wolfgang Dahmen, Andrew J. Kurdila and Peter Oswald.pdf

Neural networks and pattern recognition Omid Omidvar and Judith Dayhoff.pdf

nonparamatrics economitrics Adrian Pagan, Aman Ullah.pdf

Nonparametric and Semiparametric Models-An Introduction Wolfgang H¨ardle, Marlene M¨ uller, Stefan.pdf

Nonparametric Functional Data Analysis Theory and Practice Frédéric Ferraty Philippe Vieu.pdf

Numerical Solution Of Stochastic Differential Equations P E Kloeden & E Platen.pdf

Numerical Solution Of Stochastic Differential Equations With Jumps In Finance Eckhard Platen.pdf

open source development with cvs Moshe Bar Karl Fogel 3ed.pdf

Partial Identification Of Probability Distributions Charles F. Manski.pdf

Practical Time-Frequency Analysis-Gabor and Wavelet Transforms with an Implementation in S Ren& Ingrid Daubechies.pdf

Probabilities And Potential CLAUDE DELLACHERIE.pdf

Probability And Information a m Yaglom.pdf

Probability Inequalities概率不等式 Zhengyan Lin Zhidong Bai.pdf

Probability Theory The Logic of Science E. T. Jaynes概率论沉思录.pdf

Probability Via Expectation peter Whittle.pdf

Problems In Probability t m Mills.pdf

Pseudo Differential Operators Generating Markov Processes Walter.pdf

Python语言入门 mark lutz，david ascber.pdf

Random Matrices Mehta.pdf

Random Number Generation and Monte Carlo Methods James E. Gentle.pdf

Real Analysis with an Introduction to Wavelets and Applications Don Hong, Jianzhong Wang and Robert Gardner.pdf

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Some Random Series Of Functions Kahane.pdf

splus intro longhow lam.pdf

splus 中科大 孟强.pdf

Statistical Learning Theory vladinmir n Vapnik.pdf

Statistical Mechanics And Random Matrices Guionnet.pdf

Statistical Methods for Reliability Data WILLIAM Q. MEEKER.djvu

statistics and truth C. Radhakrishna Rao.pdf

Statistics For Long-memory Processes jan Beran.pdf

Stochastic Differential Equations Zenghu Li.pdf

Stochastic Differential Equations Zhongmin QIAN.pdf

Stochastic Finance An Introduction In Discrete Time Follmer.pdf

Stochastic Finance An Introduction In Discrete Time Hans F?llmer Alexander Schied.pdf

Stochastic Integration and Stochastic Differential Oleg Makhnin.pdf

stochastic processes amir dembo.pdf

Sums Of Independent Random Variables v v Petrov.pdf

survival analysis-Techniques for Censored and Truncated Data John P. Klein.pdf

Tex Amstex和Latex使用简介 李勇.pdf

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The Capital Asset Pricing Model-Theory and Evidence Eugene F. Fama and Kenneth R. French.pdf

The Comprehensive LATEX Symbol List letex符号大全 Scott Pakin.pdf

The Elements of Statistical Learning Data Mining, Inference, and Prediction Trevor Hastie Robert Tibshirani.pdf

The Elements of Statistical Learning-Data Mining, Inference and Prediction Jerome Friedman Trevor Hastie Robert Tibshirani.djvu

the finite element method-A Practical Course G. R. Liu.pdf

The Inverse Function Theorem Of Nash And Moser RICHARD S. HAMILTON.pdf

The Latex Graphics Companion Goossens.pdf

The Little SAS Book 3ed lora d delwiche.pdf

The Little SAS Book 4ed lora d delwiche.pdf

The Not So Short Introduction To Latex Tobias Oetiker.pdf

The TeXBook knuth 中文.pdf

the texbook knuth.pdf

Thinking in C++ Bruce Eckel 2ed.pdf

Thinking in C++ Bruce Eckel 中文.PDF

Thinking in C++ Bruce Eckel.pdf

Thinking In Java 4ed Bruce Eckel.pdf

Time Series Analysis-univariate and multivariate methods william w s wei.pdf

Time-Frequency Time-Scale Analysis yves meyer.pdf

Tools for Statistical Inference martin a tanner.pdf

Topological Function Spaces a v Arkhangelskii.pdf

UML Distilled-a brief guide to the standard object modeling language martin flower 2ed.pdf

中国大百科全书 数学.pdf

临界点理论及其应用 张恭庆.pdf

代数特征值问题 J.H.威尔金森.pdf

休假随机服务系统 田乃硕.pdf

倒向随机微分方程及其应用 彭实戈.pdf

初等随机过程讲义 应坚刚.pdf

动态规划方法与Hamilton-Jacobi-Bellman方程 雍炯敏.pdf

千年难题七个悬赏1000000美元的数学问题 Devlin.pdf

变分学讲义 张恭庆.pdf

多元统计分析 孙文爽.pdf

对称性分岔理论基础 唐云.pdf

常用不等式 匡继昌.pdf

广义函数论 刘浩岳.pdf

应用时间序列分析实验手册 EVIEWS.doc

应用随机过程 林元烈 清华大学.pdf

应用随机过程 林元烈.pdf

应用随机过程引论 胡迪鹤.pdf

强极限定理 林正炎.pdf

数学与猜想 Polya.pdf

数学分析中的典型问题与方法 裴礼文.pdf

数学手册.pdf

数学模型 姜启源.pdf

数学模型与lingo_lindo软件 清华 谢金星.pdf

数学模型方法 齐欢.pdf

数据挖掘中的新方法-支持向量机 邓乃扬 田英杰.pdf

数理统计 汪荣鑫.pdf

数论方法在统计中的应用 方开泰.pdf

时间序列分析 谢衷洁.pdf

时间序列分析 魏武维 人大讲义.pdf

时间序列分析-高阶统计量方法-张贤达.pdf

时间序列分析与动态数据建模 杨位钦.pdf

时间序列分析导论 Chris Chatfield.pdf

时间序列的分析与应用 安鸿志.pdf

最优停止理论 周元燊.pdf

最优化原理与方法 薛毅2001.pdf

概率极限理论基础 林正炎.pdf

泛函分析讲义 关肈直.pdf

混合相依变量的极限理论 陆传荣.pdf

特殊矩阵 陈景良.pdf

矩阵分析 杨克劭.pdf

矩阵分析 王朝瑞.pdf

矩阵理论及其应用 蒋正新.pdf

矩阵论中不等式 王松桂 贾忠贞.pdf

算子函数论 李国平.pdf

统计学 贾俊平（清华04版）.pdf

统计学讲义 人大贾俊平.pdf

英汉数学词汇汉英数学词汇 齐玉霞.pdf

近代概率引论-测度 鞅和随机微分方程 袁震东.pdf

随机分析讲义 Kyprianou.pdf

随机控制 郭尚来.pdf

随机游动与鞅 应坚刚.pdf

随机过程 伊藤清.pdf

随机过程 张曙光 中科大.pdf

随机过程基础 应坚刚.pdf

随机过程论 施利亚耶夫.pdf

随机过程论—基础、理论、应用 胡迪鹤.pdf

非参数统计讲义 孙山泽.pdf

非线性时间序列分析 安鸿志.pdf

鞅与随机积分引论 严加安.pdf

鞅分析及其应用 胡必锦.pdf

高等代数 丘维声 习题解答.pdf

高等数理统计 茆诗松.pdf

高等概率论及其应用 胡迪鹤.pdf

Flash Boys: A Wall Street Revolt – Michael Lewis

The Big Short: Inside the Doomsday Machine – Michael Lewis

Liar’s Poker – Michael Lewis

When Genius Failed: The Rise and Fall of Long-Term Capital Management – Roger Lowenstein

More Money Than God: Hedge Funds and the Making of a New Elite – Sebastian Mallaby

How I Became a Quant: Insights from 25 of Wall Street’s Elite – Richard Lindsey, Barry Schachter

My Life as a Quant: Reflections on Physics and Finance – Emanuel Derman

Financial Engineering: The Evolution of a Profession – Tanya Beder, Cara Marshall

The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It – Scott Patterson

Nerds on Wall Street: Math, Machines and Wired Markets – David Leinweber

Physicists on Wall Street and Other Essays on Science and Society – Jeremey Bernstein

The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance) – Alex Kuznetsov

Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life – Emanuel Derman

Heard on The Street: Quantitative Questions from Wall Street Job Interviews – Timothy Crack

Frequently Asked Questions in Quantitative Finance – Paul Wilmott

Quant Job Interview Questions And Answers – Mark Joshi, Nick Denson, Andrew Downes

A Practical Guide To Quantitative Finance Interviews – Xinfeng Zhou

Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance – Brett Jiu

Cracking the Coding Interview: 150 Programming Questions and Solutions – Gayle McDowell

Successful Algorithmic Trading – Michael Halls-Moore (my first trading book)

Advanced Algorithmic Trading – Michael Halls-Moore (my second trading book)

Quantitative Trading: How to Build Your Own Algorithmic Trading Business – Ernie Chan

Algorithmic Trading: Winning Strategies and Their Rationale – Ernie Chan

Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading – Rishi Narang

The Truth About High-Frequency Trading: What Is It, How Does It Work, and Is It a Problem? – Rishi Narang, Manoj Narang

Algorithmic and High-Frequency Trading – Álvaro Cartea, Sebastian Jaimungal, José Penalva

The Science of Algorithmic Trading and Portfolio Management – Robert Kissell

Algorithmic Trading and DMA: An introduction to direct access trading strategies – Barry Johnson

Volatility Trading – Euan Sinclair

Trading and Exchanges: Market Microstructure for Practitioners – Larry Harris

Schaum’s Outline of Statistics and Econometrics – Dominick Salvatore, Derrick Reagle

Introductory Econometrics for Finance – Chris Brooks

Introduction to Time Series and Forecasting -Peter Brockwell, Richard Davis

Time Series: Theory and Methods – Peter Brockwell, Richard Davis

Analysis of Financial Time Series – Ruey Tsay

Multivariate Time Series Analysis: With R and Financial Applications – Ruey Tsay

Time Series Analysis – James Douglas Hamilton

Options, Futures, and Other Derivatives – John Hull

A Primer For The Mathematics Of Financial Engineering – Dan Stefanica

Solutions Manual – A Primer For The Mathematics Of Financial Engineering – Dan Stefanica

Paul Wilmott Introduces Quantitative Finance – Paul Wilmott

Paul Wilmott on Quantitative Finance – Paul Wilmott

The Concepts and Practice of Mathematical Finance – Mark Joshi

More Mathematical Finance – Mark Joshi

Financial Calculus: An Introduction to Derivative Pricing – Martin Baxter, Andrew Rennie

An Introduction to the Mathematics of Financial Derivatives – Ali Hirsa, Salih Neftci

Principles of Financial Engineering – Robert Kosowski, Salih Neftci

Mathematics for Finance: An Introduction to Financial Engineering – Marek Capiski, Tomasz Zastawniak

Arbitrage Theory in Continuous Time – Tomas Bjork

The Complete Guide to Option Pricing Formulas – Espen Haug

Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit – Damiano Brigo, Fabio Mercurio

Interest Rate Modeling – Vol I: Foundations and Vanilla Models – Leif Andersen, Vladimir Piterbarg

Interest Rate Modeling – Vol II: Term Structure Models – Leif Andersen, Vladimir Piterbarg

Interest Rate Modeling – Vol III: Products and Risk Management – Leif Andersen, Vladimir Piterbarg

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives – Riccardo Rebonato, Kenneth McKay, Richard White

Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing – Chris Kenyon, Roland Stamm

Interest Rate Swaps and Their Derivatives: A Practitioner’s Guide – Amir Sadr

Term-Structure Models: A Graduate Course – Damir Filipovic

C++ for Quantitative Finance – Michael Halls-Moore (my C++ book on derivatives pricing)

Sams Teach Yourself C++ in One Hour a Day – Siddhartha Rao (7th edition, covering C++11)

C++: A Beginner’s Guide – Herbert Schildt

Accelerated C++: Practical Programming by Example – Andrew Koenig, Barbara Moo

Effective C++: 55 Specific Ways to Improve Your Programs and Designs – Scott Meyers

C++ Design Patterns and Derivatives Pricing – Mark Joshi

More Effective C++: 35 New Ways to Improve Your Programs and Designs – Scott Meyers

Effective STL: 50 Specific Ways to Improve Your Use of the Standard Template Library – Scott Meyers

Effective Modern C++: 42 Specific Ways to Improve Your Use of C++11 and C++14 – Scott Meyers

Discovering Modern C++: An Intensive Course for Scientists, Engineers, and Programmers – Peter Gottschling

The C++ Standard Library: A Tutorial and Reference – Nicholai Josuttis

The C++ Programming Language, 4th Edition – Bjarne Stroustrup

C++ Concurrency in Action: Practical Multithreading – Anthony Williams

Optimized C++ – Kurt Guntheroth

C++ Templates: The Complete Guide – David Vandevoorde, Nicolai Josuttis

The Linux Programming Interface: A Linux and UNIX System Programming Handbook – Michael Kerrisk

Advanced Programming in the UNIX Environment, 3rd Edition – W. Richard Stevens, Stephen A. Rago

Unix Network Programming, Volume 1: The Sockets Networking API (3rd Edition) – W. Richard Stevens, Bill Fenner, Andrew M. Rudoff

Design Patterns: Elements of Reusable Object-Oriented Software – Erich Gamma, Richard Helm, Ralph Johnson, John Vlissides

Learning Python, 5th Edition – Mark Lutz

Think Python, 2nd Edition – Allen Downey

Learn Python the Hard Way, 3rd Edition – Zed Shaw

Programming Python, 4th Edition – Mark Lutz

Python for Data Analysis: Data Wrangling with Pandas, NumPy, and IPython – Wes McKinney

Data Science from Scratch: First Principles with Python – Joel Grus

Data Wrangling with Python: Tips and Tools to Make Your Life Easier – Jacqueline Kazil, Katharine Jarmul

Python for Finance: Analyze Big Financial Data – by Yves Hilpisch

Effective Python: 59 Specific Ways to Write Better Python – Brett Slatkin

High Performance Python: Practical Performant Programming for Humans – Micha Gorelick, Ian Ozsvald

Python 3 Object-Oriented Programming, 2nd Edition – Dusty Phillips

Python Machine Learning – Sebastian Raschka

Introductory Statistics with R, 2nd Edition – Peter Dalgaard

A Beginner’s Guide to R – Alain Zuur, Elena Ieno, Erik Meesters

R in a Nutshell – Joseph Adler

Introductory Time Series with R – Paul Cowpertwait, Andrew Metcalfe

An Introduction to Applied Multivariate Analysis with R – Brian Everitt, Torsten Hothorn

R Cookbook – Paul Teetor

Machine Learning with R, 2nd Edition – Brett Lantz

Click Below To Learn More About…

Algo trading. Quant careers. Machine learning.

What do quant do ? A guide by Mark Joshi.

Click to access advice.pdf

Paul & Dominic’s Guide to Quant Careers(详看附件)

Career in Financial Markets 2011- a guide by efinancialcareers. http://static.efinancialcareers.com/assets/pdf/cifm/CIFM_US.pdf

Interview Preparation Guide by Michael Page: Quantitative Analysis. http://www.math.utah.edu/ugrad/finance/interviewprep1.pdf

Interview Preparation Guide by Michael Page: Quantitative Structuring. http://www.math.utah.edu/ugrad/finance/interviewprep2.pdf

Paul & Dominic’s Job Hunting in Interesting Times Second Edition (详看附件)

Peter Carr’s A Practitioner’s Guide to Mathematical Finance (详看附件)

Max Dama’s Guide to Automated Trading (详看附件)

Basic Black-Scholes: Option Pricing and Trading by Timothy Crack

Elementary Stochastic Calculus With Finance in View by Thomas Mikosch

Financial Options: From Theory to Practice by Stephen Figlewski

Derivatives Markets by Robert L. McDonald

An Undergraduate Introduction to Financial Mathematics by Robert Buchanan

Monkey Business: Swinging Through the Wall Street Jungle

Reminiscences of a Stock Operator

Working the Street: What You Need to Know About Life on Wall Street

Fiasco: The Inside Story of a Wall Street Trader

Den of Thieves

Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives

The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History

Goldman Sachs : The Culture of Success

The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance

Wall Street: A History: From Its Beginnings to the Fall of Enron

The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown

On the Brink: Inside the Race to Stop the Collapse of the Global Financial System

House of Cards: A Tale of Hubris and Wretched Excess on Wall Street

Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves

Liquidated: An Ethnography of Wall Street

Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street

Problem Solving with C++ (8th Edition) by Walter Savitch

C++ How to Program (8th Edition) by Harvey Deitel

Absolute C++ (5th Edition) by Walter Savitch

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

Thinking in C++: Practical Programming, Volume Two by Bruce Eckel

The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)

Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers

C++ Primer (4th Edition) by Stanley Lippman

C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi

Financial Instrument Pricing Using C++ by Daniel Duffy

C# 2010 for Programmers (4th Edition)

Computational Finance Using C and C# by George Levy

C# in Depth, Second Edition by Jon Skeet

Programming F#: An introduction to functional language by Chris Smith

F# for Scientists by Jon Harrops (Microsoft Researcher)

Real World Functional Programming: With Examples in F# and C#

Expert F# 2.0 by Don Syme

Beginning F# by Robert Pickering

Matlab: A Practical Introduction to Programming and Problem Solving

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Excel 2007 Power Programming with VBA by John Walkenbach

Excel 2007 VBA Programmer’s Reference

Financial Modeling by Simon Benninga

Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets

Excel 2007 Formulas by John Walkenbach

Advanced modelling in finance using Excel and VBA by Mike Staunton

Implementing Models of Financial Derivatives: Object Oriented Applications with VBA

Learning Python: Powerful Object-Oriented Programming

Python Cookbook

FINITE DIFFERENCES

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

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

Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy

MONTE CARLO

Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)

Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)

Monte Carlo Methods in Financial Engineering, by Paul Glasserman

Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz

STOCHASTIC CALCULUS

Stochastic Calculus and Finance by Steven Shreve (errata attached)

Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal

VOLATILITY

Volatility and Correlation, by Riccardo Rebonato

Volatility, by Robert Jarrow (Editor)

Volatility Trading by Euan Sinclair

INTEREST RATE

Interest Rate Models – Theory and Practice, by D. Brigo, F. Mercurio updates available on-line Professional Area of Damiano Brigo’s web site

Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato

Interest-Rate Option Models, by Riccardo Rebonato

Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser

Interest Rate Modelling, by Nick Webber, Jessica James

FX

Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup

Mathematical Methods For Foreign Exchange, by Alexander Lipton

STRUCTURED FINANCE

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

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

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

Securitization, by Vinod Kothari

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

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

STRUCTURED CREDIT

Collateralized Debt Obligations, by Arturo Cifuentes

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

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

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

Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck

RISK MANAGEMENT/VAR

VAR Understanding and Applying Value at Risk, by various authors

Value at Risk, by Philippe Jorion

RiskMetrics Technical Document RiskMetrics Group

Risk and Asset Allocation by Attilio Meucci

SAS/S/S-PLUS

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

Modeling Financial Time Series with S-PLUS

Statistical Analysis of Financial Data in S-PLUS

Modern Applied Statistics with S

HANDS ON

Implementing Derivative Models, by Les Clewlow, Chris Strickland

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

NOT ENOUGH YET?

Energy Derivatives: Pricing and Risk Management, by Les Clewlow, Chris Strickland

Hull-White on Derivatives, by John Hull, Alan White 1899332456

Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)

Market Models, by C.O. Alexander

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

Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow

Black-Scholes and Beyond, by Neil A. Chriss

Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander

Mastering Risk: Volume 2 – Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander

Financial Mathematics

Micro-finance including financial markets and financial institutions, investment financial engineering and financial economics, corporate finance and financial management aspects of macro-finance including monetary economics, money and banking, international finance, empirical and quantitative methods include mathematical finance and financial econometrics, following the bibliography focus on mathematical foundations of economic theory and mathematical finance section.

Analysis of functions and

What is mathematics, Oxford books

Set theory

☆ Paul R. Halmos , Naive Set Theory Naive set theory (u) Hammons (great book, profound but simple)

Set theory ( English version ) Thomas Jech (Depth)

Moschovakis , Notes on Set Theory

On the basis of the collection (English version)-the original Turing Mathematics Statistics series (u) Ende Teng 

Mathematical analysis

0 Calculus

☆ Tom M. Apostol, Calculus vol Ⅰ & II (classic advanced calculus textbook written by mathematicians / The reference books written in precise, 40Years, Second Edition, is committed to a more profound understanding of removal interval calculus and mathematical analysis, link analysis, differential equations, linear algebra, differential geometry and probability theory, learning, the prelude to real analysis, linear algebra and Multivariable calculus book best, practice was great, hard to read and difficult to understand for beginners, but with the advantages that other materials cannot have. Stewart ‘s book the same, is relatively simple. ）

Carol and Robert Ash , The Calculus Tutoring Book (Good calculus resource materials)

★ R.Courant,F.John,IntroductiontoCalculusandAnalysisvol I&II (suitable for engineering, physics and applications)

Morris Kline , Calculus, an intuitive approach

Ron LarsonCalculus (With Analytic Geometry(introduction to calculus textbooks, rare clear and simplified, and Stewart with popular textbooks)

Of the advanced calculus Lynn H.Loomis / Shlomo Stermberg

Morris Kline , Calculus: An Intuitive and Physical Approach (Clear the resource materials)

Richard Silverman , Modern Calculus with Analytic Geometry

Michael , Spivak , Calculus (Interesting, for mathematics, read it or Stewart You can read Rudin Principles of Mathematical Analysis Or MarsdenElementary Classical Analysis , Then read Royden Real Analysis The Lebesgue integral and measure theory, or Rudin Functional Analysis Learning s.Banach and and spectral theory of operators on a Hilbert space)

James Stewart , Calculus (Popular textbooks for science and Mathematics Department, you can use Larson Book supplement, but slightly better than it, if you find it difficult to use Larson Bar)

Earl W. Swokowski , Cengage Advantage Books: Calculus: The Classic Edition (For engineering)

Silvanus P. Thompson , Calculus Made Easy (For Calculus for beginners, easy to read and understand)

0 in real analysis (math undergraduate level consolidation analysis) (static analysis)

Understanding Analysis , Stephen Abbott , (Introduction to real analysis book, although it is not meant to be exhaustive, but clear and concise, Rudin, Bartle, Browder Who, after all, not good at writing book, multi spoke less)

★ T. M. Apostol, Mathematical Analysis

Problems in Real Analysis Real analysis problem set ( United States ) Alipulansi, (United States), Prof Birkinshaw

☆ Of the mathematical analysis of the enterprise, the North

Hu Shi Geng, of real variable function

Of the analysis of the Elliott H. Lieb / Michael Loss

★ H. L. Royden, Real Analysis

W. Rudin, Principles of Mathematical Analysis

Elias M.Stein , Rami Shakarchi, Real Analysis : Measure Theory , Integration and Hilbert Spaces , Real analysis ( English version)

The mathematical analysis of eight told khinchine

☆ The new mathematical analysis about building of Peking University Zhou Min, and theory of functions of a real variable, Peking University

☆ Shanghai, Zhou Min intensity of the mathematical analysis of the science and technology Club

0 measure theory (overlapping with the consolidation analysis)

Probability and measure theory (English) (United States) Ashe ( Ash.R.B. ), ( United States ) Multi-lang – Dade ( Doleans-Dade,C.A. )

☆ Halmos , Measure Theory And measure theory ( English version ) (De) Holmes

0 Fourier Analysis (half of the real variable analysis and Wavelet analysis)

An introduction to Wavelets (u) Cui Jintai 

H. Davis, Fourier Series and Orthogonal Functions

★ Folland , Real Analysis : Modern Techniques and Their Applications

★ Folland , Fourier Analysis and its Applications Mathematical physics equations: Fourier analysis and its applications (English version)-era .Featured excellent teaching materials in colleges and universities in foreign countries (U) Fu Lande

Fourier Analysis (English version)-age education • featured excellent teaching materials in colleges and universities in foreign countries (U) gelafakesi

B. B. Hubbard, The World According to Wavelets: The Story of a Mathematical Technique in the Making

Katanelson , An Introduction to Harmonic Analysis

R. T. Seeley, An Introduction to Fourier Series and Integrals

★ Stein , Shakarchi , Fourier Analysis : An Introduction

0 of complex analysis (math undergraduate level of functions of a complex variable)

L. V. Ahlfors, Complex Analysis , Mathematical translation of complex analysis – a fragment bundle (u) Ahlfors ( Ahlfors,L.V. )

★ Brown , Churchill , Complex Variables and Applications Convey, Functions of One Complex Variable Ⅰ & Ⅱ

Concise complex analysis of Gong Sheng , North

Greene , Krantz , Function Theory of One Complex Variable

Marsden , Hoffman , Basic Complex Analysis

Palka , An Introduction to Complex Function Theory

★ W. Rudin, Real and Complex Analysis of the real analysis and complex analysis of the Nasruddin (standard textbooks, preferably with measure theory)

Siegels , Complex Variables

Stein , Shakarchi , Complex Analysis The complex functions of Zhuang Chetai

Functional analysis (portfolio value)

0 basic functional analysis (functions of a real variable, operator theory and Wavelet analysis)

Foundations of real analysis and functional analysis, drive their envelope, higher education

★ Friedman , Foundations of Modern Analysis

Hu Shi of the consolidation and functional no-tillage

The introduction of functional analysis and its applications kelizige Functional analysis of problem sets (printed) s. Radhakrishnan

Problems and methods in analysis , Krysicki

Xia Daoxing, functional analysis, a second course in higher education

★ Xia Daoxing, functions of real variable & functional analysis

The mathematical analysis problem set Huimin Xie, higher education

Functional analysis · 6 Edition (English version) K.Yosida

The lectures on functional analysis, Zhang Gongqing, Peking University

0 high-functional analysis (operator theory)

J.B.Conway, A Course in Functional Analysis And functional analysis tutorial ( English version)

★ Lax , Functional Analysis

★ Rudin , Functional Analysis And functional analysis (English) [ United States ] Nasruddin (Distribution and Fourier transform classic, to a topological base)

Zimmer , Essential Results of Functional Analysis

0 Wavelet analysis

Daubeches , Ten Lectures on Wavelets

★ Frazier , An Introduction to Wavelets Throughout Linear Algebra Hernandez ,

Of the wavelet methods for time series Percival

★ Pinsky , Introduction to Fourier Analysis and Wavelets

Weiss , A First Course on Wavelets

Wojtaszczyk , An Mathematical Introduction to Wavelets Analysis

Differential equations (and dynamic analysis of option pricing)

0 of ordinary differential equations and partial differential equations (differential equation stability, optimal consumption and portfolio)

V.I.Arnold,OrdinaryDifferentialEquations, ordinary differential equations (English version) (modern, difficult)

★ W. F. Boyce, R. C. Diprima, Elementary Differential Equations and Boundary Value Problems

The equations of mathematical physics Chen shuxing, Fudan University

E. A. Coddington, Theory of ordinary differential equations

A. A. Dezin, Partial differential equations

L. C. Evans, Partial Differential Equations

Ding Tongren of the higher education course in ordinary differential equations

The ordinary differential equation problem sets Filipov, Shanghai Science and technology Club

★ G. B. Folland, Introduction to Partial Differential Equations

Fritz John, Partial Differential Equations

Of the ordinary differential equations Li Yong

☆ The Laplace Transform: Theory and Applications , Joel L. Schiff (Suitable for self-study)

G. Simmons, Differntial Equations With Applications and Historecal Notes

Sotomayor of the differential equations of curves that are defined

King of the ordinary differential equation in Kaohsiung, Sun Yat-sen University

Of the differential equations and boundary value problems Zill

0 partial differential equation by finite difference method (option)

Fuxisi, finite difference methods for partial differential equations

★ Kwok , Mathematical Models of Financial Derivatives (Finite difference method for American option pricing)

★ Wilmott , Dewynne , Howison , The Mathematics of Financial Derivatives (Finite difference method for American option pricing)

0 statistical simulation methods, Monte Carlo methods Monte Carlo method in finance (American option pricing)

★ D. Dacunha-Castelle, M. Duflo, Probabilités et Statistiques II

☆ Fisherman , Monte Carlo Glasserman , Monte Carlo Mathods in Financial Engineering (The classic Monte Carlo method for financial books, brings together a variety of financial products)

☆ Peter Jaeckel , Monte Carlo Methods in Finance (Financial mathematics good, no Glasserman Good)

★ D. P. Heyman and M. J. Sobel, editors,Stochastic Models, volume 2 of Handbooks in O. R. and M. S., pages 331-434. Elsevier Science Publishers B.V. (North Holland)

Jouini , Option Pricing , Interest Rates and Risk Management

★ D.Lamberton,B.Lapeyre,IntroductiontoStochasticCalculusAppliedtoFinance(continuous-time)

★ N. Newton,Variance reduction methods for diffusion process :

★ H. Niederreiter,Random Number Generation and Quasi-Monte Carlo Methods. CBMS-NSF Regional Conference Series in Appl. Math. SIAM

★ W.H. Press and al. , Numerical recepies.

★ B.D. Ripley. Stochastic Simulation

★ L.C.G. Rogers et D. Talay, editors , Numerical Methods in Finance. Publications of the Newton Institute.

★ D.V. Stroock, S.R.S. Varadhan , Multidimensional diffusion processes

★ D. Talay,Simulation and numerical analysis of stochastic differential systems, a review. In P. Krée and W. Wedig, editors, Probabilistic Methods in Applied Physics, volume 451 of Lecture Notes in Physics, chapter 3, pages 54-96.

★ P.Wilmott and al. , Option Pricing (Mathematical models and computation).

Benninga , Czaczkes , Financial Modeling

0 numerical methods And numerical methods

Numerical Linear Algebra and Its Applications , The science society

K. E. Atkinson, An Introduction to Numerical Analysis

R. Burden, J. Faires, Numerical Methods

Of the course in approximation theory Cheney

P. Ciarlet, Introduction to Numerical Linear Algebra and Optimisation, Cambridge Texts in Applied Mathematics

A. Iserles, A First Course in the Numerical Analysis of Differential Equations, Cambridge Texts in Applied Mathematics

The numerical approximation of Jiang erxiong

The numerical analysis of Li Qingyang, Tsinghua University

Of the numerical method of the forest forest

J. Stoer, R. Bulirsch, An Introduction to Numerical Analysis

J. C. Strikwerda, Finite Difference Schemes and Partial Differential Equations

L. Trefethen, D. Bau, Numerical Linear Algebra

The numerical linear algebra Xu Shufang, Peking University

Other (not necessarily)

Of the mathematical modeling Giordano

Discrete mathematics and its applications Rosen

The course in Combinatorial mathematics Van Lint

Geometry and topology (Convex, concave set)

Topology

0 point set topology

★ Munkres , Topology : A First Course Of the topology of the James R.Munkres

Spivak , Calculus on Manifolds

Algebra (deep in the Department of mathematics, algebra) (static analysis)

0 linear algebra, matrix theory (portfolio value)

M. Artin,Algebra

Axler, Linear Algebra Done Right

★ Curtis , Linear Algeria : An Introductory Approach

W. Fleming, Functions of Several Variables

Friedberg, Linear Algebra Hoffman & Kunz, Linear Algebra

P.R. Halmos , Finite-Dimensional Vector Spaces (The classic textbook, mathematics linear algebra, note about abstract algebraic structures rather than matrix, hard to read)

J. Hubbard, B. Hubbard, Vector Calculus, Linear Algebra, and Differential Forms: A Unified Approach

N. Jacobson,Basic Algebra Ⅰ&Ⅱ

☆ Jain Of the linear algebra

Lang , Undergraduate Algeria

Peter D. Lax , Linear Algebra and Its Applications (For mathematics)

G. Strang, Linear Algebra and its Applications(for science and engineering, clearest teaching materials of linear algebra, speak a lot, his online lecture is important)

Optimization of economy

Dixit , Optimization in Economic Theory

General equilibrium

Debreu , Theory of Value

Separation theorem

★ Hildenbrand , Kirman , Equilibrium Analysis (General equilibrium)

★ Magill , Quinzii , Theory of Incomplete Markets (Incomplete market equilibrium)

★ Mas-Dollel , Whinston , Microeconomic Theory (General equilibrium)

★ Stokey , Lucas , Recursive Methods in Economic Dynamics (Macroscopic equilibrium)

Probability and statistics

Probability theory (financial products revenue estimation, decision making under conditions of uncertainty, options)

0 basic probability theory (Department of mathematics, theory of probability level)

★ The theory of probability (in three volumes), Fudan University

Davidson , Stochastic Limit Theory

Durrett , The Essential of Probability That probability theory 3 Edition (English version)

★ W. Feller,An Introduction to Probability Theory and its Applications of probability theory and its application (part 3 )-Turing Mathematics • Statistics series

Of the probability theory Foundation of the Li Xianping, higher education

G. R. Grimmett, D. R. Stirzaker, Probability and Random Processes

☆ Ross , S. a first couse in probabilityand statistics print version in China; probability based tutorials ( 7 version)-books-Turing mathematics • statistics (example)

☆ To the theory of probability Wang ren, Peking University

Wang Shouren, probability theory and stochastic processes, science society

☆ To the theory of probability Yang Zhenming, Nankai, the science society

0 theory of probability based on measure theory,

Measure theory and probability theory, programming macros, Peking University

★ D. L. Cohn, Measure Theory

Dudley , Real Analysis and Probability

★ Durrett , Probability : Theory and Examples

Jacod , Protter , Probability Essentials Resnick , A Probability Path

★ Shirayev , Probability

Strictly, measure theory, lecture notes, science society

★ Zhong Kailai, A Course in Probability Theory

0 random calculus Introduction of diffusion processes ( option pricing)

K. L. Chung, Elementary Probability Theory with Stochastic Processes

Cox , Miller , The Theory of Stochastic

★ R. Durrett, Stochastic calculus

★ Huang Zhi Yuan, introduction to stochastic analysis

Huang Zhi Yuan The scientific fundamentals of stochastic analysis

Jiang lishang, mathematical models and methods in option pricing, higher education 

An introduction to stochastic processes Kao

Karlin , Taylor , A First Course in Stochastic Prosses (For graduate students)

Karlin , Taylor , A Second Course in Stochastic Prosses (For graduate students)

Stochastic process, laws, China

☆ J.R.Norris,MarkovChains(needs a basis)

★ Bernt Oksendal, Stochastic differential equations (An excellent introduction to stochastic differential equations book, focus on Brownian motion,Karatsas Shreve Book short read, preferably with probability theory, reading the book can read financial literature, the financial part Shreve Good)

★ Protter , Stochastic Integration and Differential Equations (Well-written)

★ D.Revuz,M.Yor,ContinuousmartingalesandBrownianmotion(continuous martingale)

Ross , Introduction to probability model (For start)

★ Steel , Stochastic Calculus and Financial Application (With Oksendal Level, focusing on financial, narrative interesting and weaken academic, stochastic differential and martingale)

☆ The general theory of stochastic processes, Wang zishen, of Beijing Normal University

0 probability, stochastic calculus applications (continuous-time finance)

Arnold , Stochastic Differential Equations

☆ To the theory of probability and its applications in investment, insurance, engineering Bean

Damien Lamberton,Bernard Lapeyre. Introduction to stochastic calculus applied to finance.

David Freedman.Browian motion and diffusion.

Dykin E. B. Markov Processes.

Gihman I.I., Skorohod A. V.The theory of Stochastic processes Jiheman, theory of stochastic processes, the scientific

Lipster R. ,Shiryaev A.N. Statistics of random processes.

★ Malliaris , Brock , Stochastic Methods in Economics and Finance

★ Merton , Continuous-time Finance

Salih N. Neftci , Introduction to the Mathematics of Financial Derivatives

☆ Steven E. Shreve , Stochastic Calculus for Finance I: The Binomial Asset Pricing Model ; II: Continuous-Time Models (The best stochastic calculus and financial (price theory) book, easy to read books in financial engineering, no measure on the basis of the first few chapters will be difficult, discrete-time model Naftci Clear, Shreve Online tutorial is also very good)

Sheryayev A. N. Ottimal stopping rules.

Wilmott p., J.Dewynne,S. Howison. Option Pricing: Mathematical Models and Computations.

Stokey , Lucas , Recursive Methods in Economic Dynamics

Wentzell A. D. A Course in the Theory of Stochastic Processes.

Ziemba , Vickson , Stochastic Optimization Models in Finance

0 probability, stochastic calculus applications (Advanced)

Nielsen , Pricing and Hedging of Derivative Securities

Ross , Of the mathematical finance preliminary An Introduction to Mathematical Finance : Options and other Topics

Shimko , Finance in Continuous Time : A Primer

0 probability theory and martingale theory

★ P. Billingsley,Probability and Measure

K. L. Chung & R. J. Williams,Introduction to Stochastic Integration

Doob , Stochastic Processes

Strictly, selected topics in stochastic analysis, scientific

0 probability theory and martingale theory Stochastic processes and derivative products (Advanced)

★ J. Cox et M. Rubinstein : Options Market

★ Ioannis Karatzas and Steven E. Shreve , Brownian Motion and Stochastic Calculus (Hard to read advanced stochastic processes for important textbooks, if not quite a mathematical skills, or to read Oksendal , Combined with Rogers & Williams Read the book is better, option pricing, martingale)

★ M. Musiela – M. Rutkowski : (1998) Martingales Methods in Financial Modelling

★ Rogers & Williams , Diffusions, Markov Processes, and Martingales: Volume 1, Foundations ; Volume 2, Ito Calculus (Simple and implements complex analysis, Laplace transformations, Markov chains, in particular, to read 1 Volume)

★ David Williams , Probability with Martingales (Easier to read, measure theory, the martingale method book, high probability theory teaching materials)

0 martingales theory and stochastic processes

Duffie , Rahi , Financial Market Innovation and Security Design : An Introduction , Journal of Economic Theory

Kallianpur , Karandikar , Introduction to Option Pricing Theory

★ Dothan , Prices in Financial Markets (A discrete-time model)

Hunt , Kennedy , Financial Derivatives in Theory and Practice

He Sheng Wu, Wang Jiagang, strict, half martingales and stochastic analysis, the science society

★ Ingersoll , Theory of Financial Decision Making

★ Elliott Kopp , Mathematics of Financial Markets (Continuous-time)

☆ Marek Musiela , Rutkowski , Martingale Methods in Financial Modeling (Asset pricing theory of martingale methods best book read Hull Book of choice, read first Rogers & Williams 、 Karatzas and Shreve Bjork Lay a good foundation)

0 to weak convergence and convergence of stochastic processes

★ Billingsley , Convergence of Probability Measure

Davidson , Stochastic Limit Theorem

★ Ethier , Kurtz , Markov Process : Characterization and Convergence Hall , Martingale Limit Theorems

★ Jocod , Shereve , Limited Theorems for Stochastic Process

Van der Vart , Weller , Weak Convergence and Empirical Process

Operational research

Optimization, game theory, mathematical programming

Stochastic control, optimal control 0 (portfolio construction)

Borkar , Optimal control of diffusion processes

Bensoussan , Lions , Controle Impulsionnel et Inequations Variationnelles

Chiang , Elements of Dynamic Optimization

Dixit , Pindyck , Investment under Uncertainty

Fleming , Rishel , Deterministic and Stochastic Optimal Control

Harrison , Brownian Motion and Stochastic Flow Systems

Kamien , Schwartz , Dynamic Optimization

Krylov , Controlled diffusion processes

0-control theory (optimization)

Mathematical statistics (portfolio decisions, risk management)

0 basic statistics (not based on measure theory)

★ R. L. Berger, Cassell, Statistical Inference

Bickel , Dokosum , Mathematical Stasistics : Basic Ideas and Selected Topics

★ Birrens , Introdution to the Mathematical and Statistical Foundation of Econometrics

Lectures on mathematical statistics, Chen Jiading, higher education

★ Gallant , An Introduction to Econometric Theory

R. Larsen, M. Mars, An Introduction to Mathematical Statistics

☆ The probability theory and mathematical statistics, Li Xianping, Fudan University

☆ Papoulis , Probability , random vaiables , and stochastic process

☆ Stone , Of the probability and statistics

★ The Sun Yat-sen University Department of statistics, probability theory and mathematical statistics, higher education

0 based on the theory of mathematical statistics ( Measure theory)

Berger , Statistical Decision Theory and Bayesian Analysis

Chen Xiru, advanced mathematical statistics

★ Shao Jun , Mathematical Statistics

★ Lehmann , Casella , Theory of Piont Estimation

★ Lehmann , Romano , Testing Statistical Hypotheses

Of the mathematical statistics and data analysis Rice

0 asymptotic statistics

★ Van der Vart , Asymptotic Statistics

0, parameter estimation method of modern statistical theory, non-parametric statistical methods

Parameters Econometrics, Semiparametric econometric, self-help method to econometrics, empirical likelihood

Statistics section

1 , The statistics, exploratory data analysis David Freedman China’s statistics (The statistics speak well)

2 、 Mind on statistics Machinery industry (Only high school level)

3 、 Mathematical Statistics and Data Analysis Machinery industry (This book is very good ideas about a lot of new things)

4 、 Business Statistics a decision making approach China statistics (Utility)

5 、 Understanding Statistics in the behavioral science China statistics

Return to section

1 And the application of the linear regression China statistics (blue book series, there is a certain depth, very good)

2 、 Regression Analysis by example , (Attractive, less derived)

3 、《 Logistics Regression model-methods and applications Wang Jichuan Guo Zhigang higher education (not much domestic classical statistical packages)

Multi-

1 And the application of multivariate analysis Wang Xuemin Shanghai University of Finance (domestic good statistical textbooks)

2 、 Analyzing Multivariate Data , Lattin Machinery industry (Visual, math requirements are not high)

3 、 Applied Multivariate Statistical Analysis , Johnson & Wichem China statistics (very high)

The journal of applied regression analysis and other Multivariable methods Kleinbaum

The multivariate data analysis Lattin

Time sequence

1 And the business and economic forecasting, time series models Francis (of focus on application, classic)

2 、 Forecasting and Time Series an applied approach , Bowerman & Connell (By Box-Jenkins(ARIMA) Method, attach the SAS Minitab Program)

3 , The time series analysis: forecasting and control Box , Jenkins China statistics

Of the forecasting and time series Bowerman

Sample

1 And the sampling technique Cochrane (of authority in this field, the classic book. Difficult to understand-even understand each formula may not be able to understand its meaning)

2 、 Sampling: Design and Analysis , Lohr China statistics (spoke in a lot of new, hard to understand)

Software and other

1 、《 SAS Statistical analysis software and applications Wang Jili Zhang yaoxue Chambers Editor (books)

2 、《 SAS V8 Basic tutorial Wang Jiagang series statistics, China (focus on programming, not what statistics)

3 、《 SPSS11 Statistical analysis tutorial (Basic) (Advanced) Medstatstar hope publishing house, Beijing

4 And the statistical analysis of financial markets Zhang Yaoting with Guangxi Normal University (short)

Economics and financial mathematics

Econometrics, time series analysis (regression analysis (analysis of hedging) and multivariate analysis (factor analysis and principal components analysis (risk management))) 

John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, and Andrew Y. Lo , The Econometrics of Financial Markets (Concise financial economics textbooks, not related to macro-financial (macro and Monetary Economics), well read, requires some basic economics and finance, without DuffieCochrane High)

★ John H. Cochrane , Asset Pricing (Easier to read, and writing modern, necessary financial economics, reading can read papers in the field, to study financial mathematics or reading Duffie Bar)

☆ Russell Davidson , Econometric Theory and Methods (Intermediate books spoke most clearly, Biglin reads much better, although not Lin Wenfu classic)

★ Darrell Duffie , Dynamic Asset Pricing Theory (Continuous-time dynamic programming, although easy to read is the best functional analysis, measure theory, stochastic calculus and vector space optimization knowledge base, there is no Hull Good reads)

★ Golderberg , A Course in Econometrics

☆ William H. Greene , Econometric Analysis (Intermediate Econometrics, classic, hard to read, the focus is not prominent, suited for reference books)

☆ Gujarati And Econometrics (junior classic, easy to read but a bit old)

☆ Lin Wenfu Fumio Hayashi , Econometrics (Intermediate, classical theory of econometrics, and first two chapters of important to certain mathematical Foundation and teacher guidance, Biglin books easier to read)

Helmut Lütkepohl , Markus Krātzig , Applied Time Series Econometrics , The journal of applied econometrics time series

Ian Jacques , Mathematics for Economics and Business , Of the business and economic mathematics

B. Jerkins,Time Series Analysis:Forecasting & Control

☆ Peter Kennedy, A Guide to Econometrics (An excellent primary materials, easy to understand, and Woodridge-not of the modern method) Peter, the Guide to econometrics

☆ Robert s. pindyck of the econometric models and economic forecasts Econometric Models and Economic Forecasts

Robert s. pindyck of the investment under uncertainty

Roger Myerson, Curt Hinrichs, Probability Models for Economic Decision , Of the probability model of economic decision making

★ J. H. Stock, M. W. Watson, Introduction to Econometrics

A.H.Studenmund,IntroductoryEconometricswithApplications, the journal of applied econometrics (Basic)

T.J.Watsham,K.Parramorethe quantitative methods in finance 

★ Jeffrey Wooldridge , Introductory Econometrics: A Modern Approach (Beginner, not on mathematical reasoning, learning, and for economic majors, not suitable for statistics, Kennedy Books from it, guzhaladi’s book is deeper than it)

☆ Wooldridge Woodridge, Econometric Analysis of Cross Section and Panel Data The econometric analysis of cross section and panel data (the classic micro-econometric theory, Green Hayashi Two books supplement, require primary or secondary basis, easier to read)

Shao Yu of the micro-finance and mathematical basis of the Tsinghua University

0 time series modeling, time series analysis and its algorithm

McKenzie , Research Design Issues in Time-Series Modeling of Financial Market Volatility

Watsham , Parramore , Quantitative Methods in Finance

0 mathematical finance Econometrics of Finance

Abramowitz , Stegun , Handbook of Mathematical Functions

Briys , Options , Futures and Exotic Derivatives

★ Brockwell, P. and Davis, Time series : theory and methods

☆ The introduction of financial econometrics Chris Brooks ( Chris Brooks )

★ Campbell, J.Y., A.W. Lo and A.C. MacKinlay, The econometrics of financial markets (Consumption of capital asset pricing model)

Cox , Huang , Option Pricing and Application , Frontiers of Financial Theory

Dempster , Pliska , Mathematics of Derivative Securities

☆ Walter Enders, Applied Econometric Time Series (Great book of time series analysis, much easier to read than Hamilton’s classic)

★ Gourieroux, G., ARCH models and financial applications

★ James Douglas Hamilton, Time series analysis The time series analysis Hamilton (classics of the time series, focusing on the theory and technology, not suitable for the beginner, need a basis, available statistics and economic)

★ Hamilton, J. and B. Raj, (Eds), Advances in markov switching models

Karatzas , Lectures on the Mathematics of Finance

★ Lardic S., V. Mignon, Econom é trie des s é ries temporelles macro é conomiques et financi è res. Economica.

★ The continuous-time finance Robert k. Merton ( Robert Merton ) Continuous time finance

★ Mills, T.C., The econometric modelling of financial time series

★ Muselia , Rutkowski , Martingale Models in Financial Modeling (Continuous-time pricing, options)

★ Pliska , Introduction to Mathematical Finance : Discrete Time Models (Discrete-time model of advanced materials) An introduction to mathematical finance – a discrete-time model

★ Reinsel, G., Elements of multivariate time series analysis

Of the financial mathematics Stampfli

☆ Ross , An Introduction to Mathematical Finance : Options and other Topics, Ross S. M., The mathematical finance preliminary Ross (Sheldon M.Ross) (Portfolio)

Schachermayer , Introduction to the Mathematics of Financial Markets

★ Tsay, R.S., Analysis of financial time series Ruey s. Tsay in the analysis of financial time series (Ruey S.Tsay) (U)

Software:

1 、 EViews

2 、 SAS

Micro-economics

★ Masi·kelaier of microeconomics Andreu Mas-Colell Green, Microeconomic Theory (High top, micro-encyclopedia. General equilibrium speaks well suited to learn differential equations and real analysis and linear algebra Department of economics students, business students can most understand it’s okay. Part of game theory in conjunction with Kreps and Tirolethe theory of industrial organization)

☆ Of the advanced microeconomic theory Advanced Microeconomic Theory Jerry / Swiss-Nepal Geoffrey A. Jehle / Philip J. Reny (Advanced Start, the first half well written, second only to HAL Varian, game theory in general but concise. No masikelaier comprehensive and complicated, simple and accurate and easy to understand, the two books complement each other. Analysis of bifanlian and Nicholson, and want to use it without complex geo-high)

☆ A Course in Microeconomic , David M. Kreps (Advanced, focused on game theory, other generally written in easily and lack of rigorous, masikelaier supplement)

★ Gregory Mankiw’s principles of Economics ( Primary)

☆ Walter Nicholson etl , Microeconomic Theory: Basic Principles and Extensions (Let you easily grasp and falls in love with micro, intermediate to senior masikelaier Robert s. pindyck transition, weak in game theory)

★ Robert s. pindyck Robert Pindyck Of the micro-economics Microeconomics (Intermediate, easy simple, covering different aspects of micro, such as game theory and the pricing strategy. Suitable for beginners, focusing on applications, mathematics and theoretical analysis on less people know but don’t know the why. As a weak secondary, for intermediate)

★ Paul Samuelson Economics (Basic, but mathematical reasoning)

★ Stiglitz Economics (first class)

★ HAL Varian microeconomics: a modern perspective Intermediate Microeconomics: A Modern Approach (Intermediate, too little math)

★ HAL Varian microeconomics advanced course (Advanced base, too short, instead of mathematics to explain the concept in words, the first half well, suitable for learning, by looking at meaningless, to HAL Varian Kreps Claire) Hal R. Varian , Microeconomic Analysis

☆ Five: selling the Orange statement (getting started)

Macroeconomics

Aobosifaerde, and ruogefu: the advanced course in international finance Foundations of International Macroeconomics by Maurice Obstfeld and Kenneth S. Rogoff (Writing can also be improved, senior, well-known authors, applications and practice a lot, harder than Krugman)

★ Robert J. Barro, Economic Growth

★ Olivier Blanchard Blanchard of the macro-economics Macroeconomics (For major in finance or economics, maths is harder than Greg Mankiw, there’s a Intermediate Algebra, trigonometry and calculus and statistics, the exercise did not answer, other professional and Mankiw. As intermediate seems difficult (of course more difficult for advanced mathematical), the system clearly)

Blanchard Olivier Jean Blanchard The lectures on Macroeconomics Lectures on Macroeconomics (Advanced) (macro and Monetary Economics, as a senior is too easy)

Dennis R. Appleyard , Alfred J. Field , International economics

★ Rudiger Dornbusch of the macro-economics (intermediate)

☆ Krugman of the International Economics (intermediate)

☆ The recursive method of economic dynamics Lucas (GAO Hong’s top teaching) recursive method in economics dynamics by Robert e. Lucas

★ Greg Mankiw N. Gregory MankiwmacroeconomicsMacroeconomics(intermediate, clear and concise, as his principle of simplifying as far as possible, but no how get paid? Or Blanchard and Rudiger Dornbusch, a professional and deep was Romer. ）

¡Ï advanced macroeconomics David . Romer (Advanced Start) Advanced Macroeconomics by David Romer(wide, macro models, analysis of high quality, less mathematics to explain mathematics can be more concise, easy to cause confusion, open macroeconomics this is not enough, not suitable for core intermediate books) 

★ International Economics in El Salvador

☆ Of the dynamic macroeconomic theory Sargent (basic textbook Gao Hong) Recursive Macroeconomic Theory by Lars Ljungqvist Thomas I. Sargent

Sachs macroeconomics in the global perspective

Of the financial economics

Economic history / The history of economic thought

Of the financial history of Western Europe

The American economic history of Cambridge

The history of economic analysis

Aikelunde, and Herbert: the history of economic theory and methods

Roger E. Backhouse , The History of Economic

Stanley L. Brue , The Evolution of Economic Thought And the history of economic thought

Spiegel: the growth of economic thought

Of the methods of analysis in economics Akira Takayama

Michael Todaro , Stephen Smith , Economic Development , Of the development economics

Finance

Allen , Santomero , The Theory of Financial Intermediation , Journal of Banking and Finance

★ Of the finance Zvi bodioe (Zvi Bodie), Robert k. Merton (Robert Merton)

★ The investments Zvi bodioe ( Zvi bodie ), Yalikesi·Kaien ( Alex Kane ), Alan Marcus ( Alan Marcus ) Investments (Capital, interest rates and the discount) 

Bodie , Essentials of Investments

Dubofsky , Options and Financial Futures : Valuation and Uses

Dunbar , Invent Money : The Story of Long-Term Capital Management and the Legend behind it

★ Erichberger , Harper , Financial Economics

Fabozzi , Foundations of Financial Markets and Institutions

James , Webber , Interest Rate Modiling

★ Jarrow , Finance Theory

★ LeRoy , Werner , Principals of Financial Economics (Mean-variance method)

★ Madura of the structure of financial markets and

Malkiel , A Random Walk Down Wall Street

Mayer , Money , Banking and the Economy Meyer of the monetary, banking and economic

McMillan , McMillan on Options

Mel’nikov , Financial Market-Stochastic Analysis and the Pricing of Derivative Securities

The money and banking Mishkin

Naftci , Investment Banking , and Securities Trading

Nassim , Taleb , Dynamic Hedging

Pelsser , Efficient Methods for Valuing Internet Rate Derivatives

Ritchken , Theory , Strategy and Applications

Santomero , Financial Markets , Instruments and Institutions

Saunders , Financial Institutions Management : A Modern Perspective

★ William of the investment F• Sharp ( William F.Sharpe ), Gordon J• Alexander ( Gordon J.Alexander ), Jeffrey V• Bailey ( Jeffery V.Bailey )Investments (Capital, interest rates and the discount)

Shefrin , Behavioral Finance

Of the monetary theory and policy Carl E. Walsh

Willmott , Dewynne , Howison , The Mathematics of Financial Deribatives

Zhang , Exotic Options

Corporate finance

Bernstein , Capital Idea : The Improbable Origins of Modern Wall Street

Scott Besley, Eugene F. Brigham, Essentials of Managerial Finance Of the essentials of financial management

Richard A. Brealey, Stewart C. Myers, Principles of Corporate Finance The principle of corporate finance

Brennan , The Theory of Corperate Finance

Burroughs , Helyar , Barbarians in the Gate : The Fall of RJR Nabisco

Copeland , Financial Theory and Corporate Policy

Damodaran , Applied Corporate Finance : A User’s Manual

Damodaran , Corporate Finance : Theory and Practice

Emery , Finnerty , Corporate Financial Management

☆ Corporate finance, Stephen A. Ross ( Stephen A.Ross ), Luodeerfu W. Weisitefeierde ( Radolph W.Wdsterfield ), Jiefuli F. Jiefu ( Jeffrey F.Jaffe )

☆ To the theory of corporate finance • ladder Jordan ( Jean Tirole )

Valuation : Measuring and Managing the Value of Companies

1. the theory of finance

Asset pricing:

★ Duffie , Futures Markets (Forward contracts and futures contracts)

Duffie: security market

★ The fundamentals of financial economics Huang Qifu ( Chi-fu Huang ), Luobote·baobo·lizisenboge ( Robert H. Litzenberger ) Foundation for financial economics

★ Ingersoll: Theorey of financial decision making

Ross: Neoclassical Finance

Underwriting:

Company mergers and acquisitions:

　　2. Introduction and General

Amman: Credit risk valuation

★ Baxter M., Rennie A., Financial Calculus : An Introduction to Derivative Pricing (Financial engineering required reading step by step introduction to stochastic calculus and financial partial differential equation is Willmott Focus on theory, only elementary calculus and probability theory) of the mathematical finance an introduction to derivative pricing

Bielecki, Rutkowski: Credit Risk : Modeling , Valuation and Hedging

★ Tomas Bjork: Arbitrage theory in continuous time ( Hull Follow-on intermediate book, continuous-time pricing, options)

Cvitanic, Zapatero: Introduction to the economics and mathematics of financial markets

★ Dana , Jeanblanc , Financial Markets in Continuous Time (Continuous-time)

Duffie Singleton: Credit Risk

★ Elliott, Kopp: Mathematics of Financial markets

★ Fouque , Papanicolau , Derivatives in Financial Markets with Stochastic Volatility (Stochastic volatility)

★ Gourieroux , ARCH Models and Financial Applications ( ARCH Model and GARCH Model)

★ Harris:Trading and Exchanges: Market Microstructure for Practitioners (Detailing various types of securities transactions)

★ Options, Futures, and Other Derivatives Yuehan·Heer the options, futures and other derivatives (John c. Hull) (derivatives and mathematical finance primary classical materials, Organization for futures and options markets, forward contracts, option pricing, options trading and futures contracts)

Hull , J. C. , Risk Management and Financial Insititutions Of the risk management and financial institutions

★ Karatzas Shreve: Methods of mathematical finance (American-style option, stochastic differential, continuous-time dynamic programming, martingale, continuous-time model of advanced materials)

☆ Lawrence G. McMillan , Options as a Strategic Investment

Rrederic S. Mishkin, Financial Markets and Institutions Of the financial markets and financial institutions

★ Mishkin the economics of money banking and financial markets 

★ Nelken , Pricing , Hedging , and Trading Exotic Options (Exotic options)

☆ Sheldon Natenberg , Option Volatility & Pricing: Advanced Trading Strategies and Techniques

Edgar A. Norton , Introduction to Finance : Markets , Investments and Financial Management Introduction to the financial markets, investment and financial management of

★ Lewis , Option Valuation under Stochastic Volatility : with Mathemetical Code (Stochastic volatility)

Principles of financial engineering by ☆ Saleh . Neifusi (Salih N.Neftci)

Peter Rose, Sylvia C. Hudgins, Commercial Bank Management The management of commercial banks

Peter S. Rose, Money and Capital Markets Of the financial markets

Shreve:Stochastic Calculus Models for Finance vol 1 & 2

Taleb:Dynamic Hedging

Lloyd B. Thomas, Money, Banking, and Financial Markets Money, banking and gold Of the financial markets

☆ Of the financial economics Wang

Robert E. Whaley, Derivatives: Markets, Baluation, and Risk Management Of the derivative

Paul Wilmott, Paul Wilmott introduces quantitative finance Of the financial econometrics

Wilmott P.: quantitative finance (Interest rate)

★ Wilmott P. , Derivatives : The Theory and Practice of Financial Engineering (Option pricing, good use of partial differential equations)

　　3. fixed income

★ Bielecki , Rutkowski , Credit Risk : Modeling , Valuation and Hedging (High default risk materials)

★ Brigo , Mercurio , Interest Rate Models : Theory and Practice (Fixed-income securities and interest rate derivatives)

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 (Fixed-income bonds, interest rate derivatives)

★ Martellini , Priaulet Fixed-Income Securities : Valuation , Risk Management and Portfolio Strategies (Fixed-income bonds, interest rate derivatives)

Mecurio , Fabio , Interest Rate Models and Practice

★ Pelsser , Efficient Methods for Valuing Interest Rate Derivatives (Fixed-income securities and interest rate derivatives) Schonbucher , Credit Derivatives Pricing Models

★ Sundaresan , Fixed Income Markets and Their Derivaties (Fixed-income bonds, interest rate derivatives) Senda sang of the fixed income securities market and its derivatives 

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

Fabozzi Fabozzi Books:

★ Bond Markets : Analysis and Strategies (Fixed-income bonds, interest rate derivatives)

★ Capital Markets , Institutions and Instruments (Organization)

Collateralized Debt Obligations: Structures and Analysis

Fixed Income Mathematics

Fixed Income Securities

Handbook of Mortgage Backed Securities

Interest Rate, Term Structure, and Valuation Modeling

The Handbook of Fixed Income Securities,

Investment management

　　4: Other classes Rebonato :

　　Volatility and Correlation : The Perfect Hedger and the Fox

　　Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and

Beyond

　　Interest-Rate Option Models : Understanding, Analysing and Using Models

for Exotic Interest-Rate Options

　　GENCAY: An Introduction to High-Frequency Finance

　　O’Hara:Market Microstructure Theory

Important book (does not have to. Now few will go throughout the study 18, and19 all these magnificent works of the century. ):

☆ The economic table fulangsiwa • Quesnay

Thomas of the British wealth derived from foreign trade

The selected works of Hume’s economic theory of David Hume

☆ The wealth of the theory of moral sentiments by Adam Smith

The principle of population Thomas Robert Malthus

Introduction to political economy Rang·badisite·Sayi

The principles of political economy McCulloch

☆ To the theory of taxation of the political arithmetic ofthe currency on the William petty

☆ Guanzi

Principles of political economy and taxation by ☆ David Ricardo

☆ New principles of political economy, Ximeng·de·xisi cover

Of the national system of political economy Fulidelixi·lisite

The principles of political economy John Stuart Mill

☆ Das Karl Marx

☆ The Anti-Dühring, Engels

☆ The complete works of Marx and Engels

The theory of political economy Weilian·sitanli·jiewensi

The principle of national economy of Carl Menger

The essence of pure economics Liang·waerlasi

The capital and interest of the positive theory of capital Ougen·Feng·pangbaweike

The dynamics of luoyi·fubusi·haluode

Principles of Economics by ☆ afulide·maxieer

☆ The Federal Communications Commission, the problem of social cost, the company, the market and the nature of the Corporation, the property rights of the legal and institutional changes R• Kos

The economic system of capitalism Oliver Williamson

Social choice and individual values, ARO

☆ The economic interpretation of the theory of share tenancy, Steven Cheung

The comparative institutional analysis of Aoki

☆ The Ricardian Theory of Production and Distribution, The risk, uncertainty and profit, Frank Knight 

☆ To the theory of monopolistic competition Chamberlain

☆ To the theory of Fisher

☆ The price theory of the consumption function theory of the quantity theory of money and the other saying the Marshallian demand curve, capitalism and freedom Milton Friedman

☆ Friedman of the monetary history of the United States, Schwartz

☆ Of the uncertainty, evolution and economic theory Some Economics of Property Rights, A• A. alchain

☆ Of the University of Economics A• A. alchain, Ellen

The property right and system changes-the collected works of property right theory and the translation of new system school R• Kos, A• A. alchain, road gelasi·nuosi

The contractual economics of Coase, Hart, Stiglitz

☆ The structure and change in economic history, the road of the rise of the Western world gelasi·nuosi

☆ The development of utility theory, industrial organization, George Stigler

Of the interest and price kenute·weikesaier

Conditions of the distribution of wealth and the economic progress of the John Bates Clark Medal

The theory of the distribution of wealth qiaozhi·Lamu game

The theory of the leisure class Tuoersitan·bende·fanbolun

Of the boom from the competition ludeweixi·aihade

History of the theory of economic development, economic analysis, capitalism, socialism and democracy, Joseph Alois schhumpeter

The economics of shortage of yanuoshi·keneier

☆ ASE·saixier of the welfare economics Pigou

☆ The economics of imperfect competition and the introduction of modern economics Joan Robinson

The economic analysis of human behavior in the family of Nations and · S• Becker

The economic growth theory of Lewis

The theory of democratic finance Buchanan

The conflict strategy of Schelling

The economic development strategy of aibote·heximan

The comparative financial analysis of Richard A• Musgrave

☆ The general theory of employment, interest and money, monetary theory of John Maynard Keynes

The value and capital of the theory of economic history John Richard Hicks

The road to serfdom Hayek

An introduction to the theory of socialist economic growth mihaer·kalaisiji

The economic cycle theory of Lucas

The economic growth of the countries of the modern growth of the Kuznets

The stages of economic growth Rostow

The theory of monetary equilibrium Myrdal

Kang Mang of the institutional economics

Money and capital in economic development, Ronald I• McKinnon

The economics and public goals of the affluent society Yuehan·kennisi·jiaerbuleisi

The transformation of traditional agriculture and the human capital investment of Theodore · W• Schultz

The development concept in the general theory of economic activities in the new position F• Perroux

Of the capital formation in the developed countries R• Knox

Of the theory of economic growth of the solo

The stages of economic growth Woerte·luosituo

The competitive advantage of Nations Porter

Schumacher of the small is beautiful

The poverty and famine, collective choice and social welfare, rereading Adam Smith, Economist

Of the nature and significance of economic science

Principles of Economics by Yang xiaokai

Of the human capital investment Xiaoduo·weilian·shuerci

Of the methodology of Economics mark blaug

Other reference books:

Andeson O. D. Editor, Time Series Analysis: Theory and Practice

Bingham N. H., Kiesel R., Risk-Nertral Valuation Pricing and Hedging of Financial Derivatives

Buchan M. J., Convertible Bond Pricing: Theory and Evidence

John Y. Campell , Andrew W. Lo, The Econometrics of Financial Markets

Chen J., Gupta A. K., Parametric Statistical Change Point Analysis

Chow Y. S., Teicher H., Probability Theory: Independence, Interchangeability, Martingales

Christian P. R., George C., Monte Carlo Statistical Methods

Thomas E. Copeland, Finance Theory and Corporate Policy

Csòrgǒ M., Horváth L., Limit Theorems in Change-Point Analysis

Alison Etheridg , Financial mathematics course (option pricing, martingale)

R. V. Norbert Haug, A. T. Mr Clegg, an introduction to mathematical statistics

Harrison J. M., Brownian Motion and Stochastic Flow System

Hsiao C., Analysis of Panel Data

Jorion P., Value at Risk: the New Benchmark for Managing Financial Risk

Edward P. C. Kao, An Introduction to Stochastic Processes

Takeaki Kariya, Quantitunive Methods for Portfolio Analysis (Portfolio)

Korn R., Optimal Portfolio

Kwok Y. K., Mathematical Models of Financial Derivatives

Levy H., Stochastic Dominance: Investment Decision Making under Uncertainly (Portfolio)

Lin X. S., Introductory Stochastic Analysis for Finance

Markowitz H. , Mean-Variance Analysis in Portfolio Choice and Capital Markets (Transaction costs, portfolio)

Markowitz H. , Portfolio Selection: Efficient Diversification of Investment

Percival D. B., Walden A. T., Wavelet Methods for Time Analysis (Wavelet)

Peters E. E., Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

Rosen L. R., The McGraw-Hill Handbook of Interest Yield and Returns

Willmott P., Dewynne J., Option Pricing: Nathematical Model and Computation

Game theory

☆ Theory of games Zhu·fudengboge Jordan • ladder (top of game theory textbooks) Game Theory by Drew Fudenberg Jean Tirole

☆ Gibbons of the basic game theory (Game theory) a Primer in Game Theory by Roerbt Gibbons

Jack Hirshleifer, John G. Riley, The Analysis of Uncertainly and Information

Inez Macho-stadler , David Perez-Castrillo J., An Introduction to the Economics of Information: Incentives and Contracts

Laffort Jean-Jacques, The Economics of Uncertainly and Information

Myerson: game theory: analysis of conflict (Advanced)

☆ A course in game theory, Martin . J. Osborne Alier·lubinsitan (an introduction to game theory), An Introduction to Game Theory by Martin j. Osborne Ariel Rubinstein

Richard Watt, An Introduction to the Economics of Information

Zhang weiying, game theory and information economics (Intermediate)

The theory of industrial organization / Industrial economics

Morris, sea: Business Economics and organization

Clarkson, Miller: the industrial organization: theory, evidence and public policy

☆ Ladder Jordan: of the theory of industrial organization The Theory of Industrial Organization , Jean Tirole (Classics of industrial organization theory, Department of Economics, for students, not suitable for schools, requires some basic algebra and game theory, first read Martin Advanced Industrial Organisation As the transition)

Incentive theory / The economics of information

Laffon, and laffontand martimort: the motivation theory (volume I): principal-agent model

Laffon, ladder Jordan: the theory of incentives in procurement and regulation of Government

Marco Ines macho-Stadler: an introduction to the economics of information: incentives and contracts

★ Joshi , The Concepts and Practice of Mathematical Finance

★ Joshi , C++ Design Patterns and Derivatives Pricing

London , Modeling Derivatives in C++

Meyer Books:

Effective C++

More Effective C++

Effective STL

Saul , Numerical Recipes in C++

Accounting

Basic accounting, financial accounting, cost accounting, management accounting, auditing, financial management, accounting, law and tax law

Anthony, accounting: text and cases 》

Hayes, the auditing: based on the perspective of the international auditing standards

Whittington, of the audit and other assurance services

Garrison, of the management accounting

Weygandt, of the financial accounting

Williams, the accounting: the basis for business decisions

Warren, of the accounting

Institutional economics

The system of Economics

Thrainn eggertsson: System of the economic behavior and

Feilvboteng: of the new institutional economics

★ Jean Tirole The theory of industrial organization

Of the modern institutional economics, Sheng Hong Editor

Evolutive economics

Gillis, Romer: the economics of development

Public economics / Public finance

Brown, Jackson: the economics of the public sector

☆ Harvey s. Rosen: of the finance

Joseph Stiglitz: the economics of the public sector

Other (language, computer, literature)

★ Douglas . R. Douglas r.Emery of the company’s financial management

S.CharlesMaurice,ChristopherR.Thomas,ManagerialEconomics, management in the boardroom

Michael R. Czinkota , Illkka A. Ronkainen And of the international business

Patrick A Garghan , Of the mergers, acquisitions and corporate restructuring Mergers , Acquisitions , and Corporate Restructurings

★ Philip Kotler Marketing Management

Technical analysis of stock trends (USA) Beverly Magee, (u) Basetti

Technical analysis of the futures market (U) Murphy

★ Robbins of the management

Technical analysis of futures trading (USA) Peter schwieger ( Schwager,J.D. )

(Not required)

Gann on Wall Street 45 Year (u) Gann

How to profit from the commodities futures trading (USA) Gann

Crowe talking about investment strategy–the magic of Murphy’s law (u) Crowe ( Krol,S. )

… …

Paul Wilmott Introduces Quantitative Finance, Paul Wilmott, Wiley, 2007

Paul Wilmott on Quantitative Finance, Paul Wilmott, Wiley, 2006

Frequently Asked Questions in Quantitative Finance, Paul Wilmott, Wiley, 2007

The Complete Guide to Option Pricing Formulas, Espen Gaardner Haug, McGraw-Hill, 1997

Derivatives: Models on Models, Espen Gaardner Haug, Wiley, 2007

Monte Carlo Methods in Finance, Peter Jackel, Wiley, 2002

Structured Credit Products: Credit Derivatives and Synthetic Securitisation, Moorad Choudhry, Wiley, 2004

Asset Price Dynamics, Volatility and Prediction, Stephen J. Taylor, Princeton University Press, 2007

A Practical Guide To Quantitative Finance Interviews Xinfeng Zhou.pdf

a primer for mathematics of financial engineering DAN STEFANICA.pdf

Active Portfolio Management-A Quantitative Approach for Providing Superior Returns and Controlling Risk Richard C. Grinold.pdf

Advanced modelling in finance using Excel and VBA mary jackson.pdf

Algorithms for Interviews Amit Prakash.pdf

An introduction to credit risk modeling christian bluhm.pdf

an introduction to econophysics : correlations and complexity in finance ROSARIO N. MANTEGNA.pdf

Backward Stochastic Differential Equations Nonlinear Expectations, Nonlinear Evaluations and Risk Measures Peng Shi GE .pdf

Bayesian Statistics and Marketing-outline Allenby, McCulloch and Rossi.pdf

black-scholes and beyond Chriss Neil.chm

building financial model JOHN S. TJIA.pdf

Collateralized Debt Obligations-structures and analysis LAURIE S. GOODMAN.pdf

Commodities and Commodity Derivatives-Modeling and Pricing for Agriculturals,Metals and Energy He′ lyette Geman.pdf

Credit Portfolio Management charles smithson.pdf

Derivatives and Internal Models H-P Deutsch.pdf

Dynamics Of Markets-Econophysics And Finance JOSEPH L. McCAULEY.pdf

Economic and Financial Decisions under Risk Louis Eeckhoudt.pdf

Efficient procedures for valuing European and American Path-dependent Options John Hull and Nan White.pdf

Energy and power risk management A Eydeland & K Wolyniec.pdf

energy derivatives.pdf

Financial Applications Using Excel Add-in Development in CC++ steve dalton.pdf

FINANCIAL DERIVATIVES PRICING, APPLICATIONS, AND MATHEMATICS J Baz & G Chacko.pdf

Financial Engineering with Finite Elements Jurgen Topper.pdf

Financial Engineering With Mathematica Zvi Wiener.pdf

financial engineering with stochastic calculus Jeremy Staum Cornell University .pdf

financial mathematics II min dai (Singapore) .pdf

Financial Modeling 3ed simon benninga.pdf

Financial Modeling Under Non-Gaussian Distributions Eric Jondeau, Ser-Huang Poon and Michael Rockinger.pdf

Financial Modelling wit Jump processes R Cont & P Tankov.pdf

Financial Numerical Recipes in C++ Bernt Arne Odegaard.pdf

Finite Difference Methods in Financial Engineering A Partial Differential Equation Approach Daniel J. Duffy.pdf

Forecasting Volatility in Financial Market J Knight & Satchell.pdf

Forward-Backward stochastic differential equations and their applocations Yong Jiong Ming .pdf

Frequently Asked Questions in Quantitative Finance solutions paul wilmott.pdf

Guide to Quant Careers2.0 Paul & Dominic.pdf

heard on the street quantitative questions from wall street job interviews timothy falcon crack.pdf

How I Became a quant-Insights From 25 ofWall Street’s Elite Richard R. Lindsey.pdf

How to Detect an Asset Bubble Robert A. Jarrow.pdf

how to lie with statistics Chinese DARRELL HUFF.pdf

Implementing Derivatives Models Errata les clewlow.pdf

Implementing Derivatives Models I ppt Andreas H. Burgmann.pdf

Implementing Derivatives Models II ppt Andreas H. Burgmann.pdf

Implementing Derivatives Models III ppt Andreas H. Burgmann.pdf

Implementing Derivatives Models les clewlow.pdf

Interest Rate Modeling. Volume 1 Foundations and Vanilla Models Nick Webber, Jessica James.djvu

Interest Rate Modeling. Volume 2 Term Structure Models Nick Webber, Jessica James.djvu

Interest Rate Modeling. Volume 3 Products and Risk Management Nick Webber, Jessica James.djvu

Interest Rate Modelling Simona Svoboda.chm

Interest Rate Models-Theory and Practice-With Smile, Inflation and Credit Damiano Brigo · Fabio Mercurio.pdf

interest-rate option models rebonato.djvu

Introduces Quantitative Finance Paul Wilmott.pdf

Introduction To Mathematical Finance-Discrete Time Models Stanley R. Pliska.pdf

Introduction to Stochastic Calculus for Finance-A New Didactic Approach Dieter Sondermann.pdf

Introduction to the Economics and Mathematics of Financial Markets Jakˇsa Cvitani′ , Fernando Zapatero.pdf

Introduction to the Mathematical and Statistical Foundations of Econometrics HERMAN J. BIERENS.pdf

Lecture Note-Stochastic Processes in fnance Lectures on stochastic processes in finance (Beijing University) Liu Jingjun.pdf

Levy Option Pricing Models Theory And Application Kazuhisa Matsuda.pdf

Levy Processes In Finance-Pricing Financial Derivatives Wim Schoutens.pdf

Market Models Carol Alexander.djvu

Market Risk Analysis vol1 Quantitative Methods in Finance Carol Alexander.pdf

Market Risk Analysis vol2 Practical Financial Econometrics Carol Alexander.pdf

Market Risk Analysis vol3 pricing, hedging and trading financial instruments carol alexander.pdf

Market Risk Analysis vol4 value-at-risk models Carol Alexander.pdf

Mathematical techniques in finance-tools in incomplete market Ales Cerny.pdf

modelling financial derivatives with mathematica william t shaw.pdf

Modern Portfolio Theory and Investment Analysis 6th E J Elton.pdf

Modern Portfolio Theory and Investment Analysis 6th Solutions E J Elton.pdf

monetary theory and the trade cycle friedrich a hayek.pdf

More Mathematical Finance Mark Joshi 2011.pdf

My Life as a Quant-Reflections on Physics and Finance Emanuel Derman.pdf

ON BECOMING A QUANT MARK JOSHI.pdf

Principles of Financial Engineering 2ed Salih N. Neftci.pdf

Quantitative Risk Management Concepts Alexander J. McNeil.pdf

Random Processes In Physics And Finance MELVIN LAX, WEI CAI, MIN XU.pdf

Real Options Analysis JOHNATHAN MUN.pdf

return Distributions in Finance S Satchell & J Knight.pdf

Risk and Asset Allocation attilio Meucci.pdf

Security Analysis 6ed BENJAMIN GRAHAM Securities analysis .pdf

Starting your career as a wall street quant Brett Jiu.pdf

Statistics and Data Analysis for Financial Engineering David Ruppert.pdf

Statistics and Finance-An Introduction David Ruppert.pdf

Statistics of financial markets Jürgen Franke · Wolfgang K. H?rdle Christian M. Hafner.pdf

Structured Credit Portfolio Analysis, Baskets & CDOs Christian Bluhm.pdf

Structured Finance Modeling with Object-Oriented VBA Evan Tick.chm

The Analysis of Structured Securities-Precise Risk Measurement and Capital Allocation SYLVAIN RAYNES.pdf

The Knockout Formula for Finding Great Investments PAT DORSEY.pdf

The Little Book That Beats the Market Joel Greenblatt.pdf

The Quants scott patterson.pdf

the winner’s circle r j shook.pdf

Tools for Computational Finance 3rd R Seydel.pdf

Value At Risk Philippe Jorion.pdf

vault guide to advanced finance and quantitative interviews.pdf

Hume’s economic papers .pdf

Wall Street Golden people ( New financial whiz ), Jack d. Schwager. PDF

Game theory and information economics Zhang weiying . PDF

Song FENGMING Financial engineering principles – non-arbitrage equilibrium analysis . PDF

Chinese version of the Handbook of hedge funds Stefano Lavinia.pdf

Mathematical analysis of micro-economic Hu Shi Geng . PDF

Input-output analysis Liu shipment . PDF

Mathematical finance Yong Jiong sensitivity . PDF

Option pricing derived handout .pdf

Mathematical models and methods in option pricing Jiang lishang . PDF

Probability, financial services and insurance (English-University of Hong Kong) .pdf

Mathematics and finance v1.0 Ding Jianhua Qinghuashuimu . PDF

Economic way of thinking Chinese version . PDF

Handbook of economic mathematics .pdf

Economic and mathematical methods and models angel de la fuente.pdf

Stock market wizards: interviews with Wall Street elite jack d schwager.pdf

Western economics Li Yiyuan . PDF

Econometrics — An introduction to Bayesian inference arnold zellner.pdf

Econometrics software Zheng Ting State University . PDF

Securities analysis 6ed Benjamin Graham . DjVu

Liar’s Poker Michael Lewis.pdf

Backward stochastic differential equation in finance Peng Shi GE English . PDF

Financial engineering Exam question and answer book interviews. PDF

Financial Engineering Forum File … PDF

Ten lectures on finance and Economics Shi Shuzhong . Text-only version .pdf

Financial economics robort litzenberger Song FENGMING translation .pdf

An introduction to financial economics Wang . PDF

Master vs Zheng Zhenlong, and Fang jianxing . PDF

Advanced Econometrics Yongmiao Hong notes . PDF

RiskMetrics Technical Document J.P.Morgan Reuters

Yang xiaokai

Monetary theory keynes

Introduction to financial mathematics Peking University courseware

Stochastic financial foundation Russia Shiryaev

10000 A scientific problem Mathematics test . PDF

A Course In Functional Analysis Conway.pdf

A Course In Probability Theory Zhong Kailai .pdf

A First course in abstract algebra 3ed JOSEPH J.ROTMAN.pdf

A First Course In Stochastic Processes A Second Course In Stochastic Processes samuel Karlin.pdf

A First Course on Time Series Analysis-Examples with SAS Chair of Statistics, University of W urzburg.pdf

A First Course on Wavelets E. Hernandez, G. Weiss.pdf

A Handbook of Statistical Analyses using SAS Geoff Der.pdf

A Handbook of Statistical Analyses Using SPSS Sabine Landau Brian S. Everitt.pdf

A Handbook of Statistical Analyses using Stata Sophia Rabe-Hesketh Brian Everitt.pdf

A Mathematical Introduction To Control Theory Engelberg.pdf

A wavelet tour of signal processing Stéphane Mallat.pdf

Absolute Beginner’s Guide to VBA Paul McFedries.chm

Absolute C++ walter savitch 2ed.pdf

Absolute C++ Chinese walter savitch 2ed.pdf

Advanced Calculus with Applications in Statistics Andre I. Khuri.pdf

Adventures of a Mathematician (1976) Stanislaw Ulam.djvu

algebraic graph theory NORMAN BIGGS.pdf

Algorithms, Data Structures, and Problem Solving with C++ Mark Allen Weiss.pdf

An Introduction To Banach Space Theory robert e Megginson.pdf

An Introduction To Measure And Probability j c Taylor.pdf

An Introduction to Multivariate Statistical Analysis 3ed T. W. ANDERSON.djvu

An Introduction To The Mathematical-Theory Of The Navier-Stokes Equations G.P. Galdi.pdf

Analysis And Control Of Nonlinear Infinite Dimensional Systems Viorel Barbu.pdf

Analysis On Fractals Kigami.pdf

Applied Bayesian Modeling peter congdon.pdf

Applied Factor Analysis in the Natural Sciences RICHARD A. REYMENT.pdf

Applied Multivariate Statistical Analysis 6ed richard a johnson.pdf

Applied Time Series-Modelling and Forecasting Richard Harris.pdf

Basic Markov Chains And Martingales Byron Schmuland Schmuland.pdf

Bayes and Empirical Bayes Methods for Data Analysis Bradley P. Carlin.pdf

bayesian data analysis Andrew Gelman, John B. Carlin.djvu

Bioinformatics-Managing Scientific Data Zoé Lacroix and Terence Critchlow.pdf

bioinformatics-the machine learning approach Bioinformatics – Machine learning methods pierre Baldi.pdf

Bootstrap Method A guid for practioners and reseachers MICHAEL R. CHERNICK.pdf

C++ Primer[ Chinese non-scan version ]Stanley b Lippman. PDF

C++ Getting started with classic ( 3 ) Ivor Horton. PDF

C++ Programming _ Tan haoqiang · Tsinghua University .pdf

Convergence Of Probability Measures Billingsley.pdf

C Programming languages ( 2 · New version) Dennis M Ritchie.pdf

Data Abstraction and Problem Solving with C++ 3Ed frank m carrano.pdf

Data Analysis Using Regression and Multilevel 、 Hierarchical Models ANDREW GELMAN.pdf

Data Structures and Algorithms Alfred. Aho.pdf

Design and Modeling for Computer Experiments Kai-Tai Fang Runze Li.pdf

Ergodicity And Stability Of Stochastic Processes a a Borovkov.pdf

Excel 2007 Formulas John Walkenbach.chm

Excel 2007 VBA Programmer Reference john green stephen bullen rob bovey.pdf

Excel 2010 Formulas John Walkenbach.pdf

Excel 2010 Power Programming with VBA John Walkenbach.pdf

excel hacks david raina hawley.pdf

Excel2003 Application tips . CHM

fifty challenging problems in probability with solutions frederick mosteller.pdf

Functional Analysis Lax.pdf

Functional Analysis Rudin.pdf

Functional Analysis Spectral Theory v.s. Sunder.pdf

Functional Ito calculus and stochastic integral representation of martingales Rama Cont Functional Ito Calculus and martingales stochastic integral representation (English version) .pdf

Geometric Probability Herbert Solomon.pdf

gnu autoconf David MacKenzie.pdf

Graphical models Probability graphic .pdf

GTM001 Introduction to Axiomatic set theory G. Takeuti w M Zaring.djvu

GTM002 Measure and Category-A Survey of the Analogies between Topological and Measure Spaces . John c Oxtoby measure and category: a summary of the report on the topological space and measure space is similar . DjVu

GTM004 A Course in Homological Algebra P.J. Hilton U.Stammbach.djvu

GTM005 Categories for the Working Math Saunders Mac Lane .djvu

GTM016 The Structure of Fields David Winter .djvu

GTM016 The Structure of Fields David Winter.djvu

GTM018 Measure Theory Paul R. Halmos .djvu

GTM027 General topology John L. Kelley .djvu

Handbook of computational statistics-Concepts and methods J.E.Gentle.pdf

Handbook Of Measure Theory Pap.pdf

Handbook Of Stochastic Methods c w Gardiner.pdf

Intro to Data Management and Programming in SAS Harvard School of Public Health.pdf

Introduction to Cybernetics W. ROSS ASHBY.pdf

Introduction To Functional Analysis Taylor.pdf

Introduction To Martingale Methods In Option Pricing Home Martingale used in option pricing . PDF

Introduction to Nonparametric Regression Kunio Takezawa.djvu

Introduction To Stochastic Analysis Z. Qian and J. G. Ying.pdf

Introduction to Stochastic Integration Hui-Hsiung Kuo.pdf

Large deviations and stochastic calculus Large deviations and stochastic analysis of large random matrices Alice Gnionnet.pdf

Large Random Matrices Lectures On Macroscopic Asymptotics Guionnet.pdf

Latex A Document Preparation System Lamport.pdf

latex in 90 mins Tobias Oetiker.pdf

Latex Notes Alpha Huang.pdf

Latex2e Technology publishing Guide Deng Jiansong . PDF

Latex Get started and improve Chan Chi Kit . PDF

Lectures on Stochastic Analysis Lectures on stochastic analysis University of Wisconsin, Thomas g. Kurtz. PDF

letex Layout tips Li Dongfeng . PDF

Levy Processes And Infinitely Divisible Distributions ken iti Sato.pdf

Lie Theory And Special Functions willard Miller.pdf

Limit Theorems Of Probability Theory Petrov.pdf

Lindo User manual .pdf

LINDO Package introduction .pdf

linear Regression Analysis george a e seber alan a lee.pdf

LINGO Quick start .pdf

Local Polynomial Modelling and Its Applications j fan.pdf

Long-Memory Time Series-Theory And Methods Wilfred0 Palma.pdf

Markov Processes Feller Semigroups And Evolution Equations Jan A van Casteren.pdf

martingale limit theory and its applications hall.pdf

Mathematical Principles Of Natural Philosophy Newton.pdf

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mathematical statistics keith knight.pdf

Mathematical Statistics with Applications Kandethody M.Ramachandran.pdf

Mathematical Statistics-Basic Ideas and Selected Topics bickel & Dokosum.djvu

Measure Theory j l Doob.pdf

Microeconomic Theory A Mathematical Approach james e henderson.pdf

Microsoft Office Excel 2007 Visual Basic for Applications Step by Step Reed Jacobson.chm

model-oriented data analysis V. Fedorov H. Lauter.pdf

Monte Carlo Strategies in Scientific Computing jun s liu harvard.pdf

Monte Carlo Strategies in Scientific Computing jun s liu.pdf

More Math Into Latex 7ed George Gratzer.pdf

MS OFFICE Complete the formula little key.pdf

Multirate and wavelet signal processing Bruce W. Suter.pdf

Multiscale Wavelet Methods for Partial Differential Equations Wolfgang Dahmen, Andrew J. Kurdila and Peter Oswald.pdf

Neural networks and pattern recognition Omid Omidvar and Judith Dayhoff.pdf

nonparamatrics economitrics Adrian Pagan, Aman Ullah.pdf

Nonparametric and Semiparametric Models-An Introduction Wolfgang H¨ardle, Marlene M¨ uller, Stefan.pdf

Nonparametric Functional Data Analysis Theory and Practice Frédéric Ferraty Philippe Vieu.pdf

Numerical Solution Of Stochastic Differential Equations P E Kloeden & E Platen.pdf

Numerical Solution Of Stochastic Differential Equations With Jumps In Finance Eckhard Platen.pdf

open source development with cvs Moshe Bar Karl Fogel 3ed.pdf

Partial Identification Of Probability Distributions Charles F. Manski.pdf

Practical Time-Frequency Analysis-Gabor and Wavelet Transforms with an Implementation in S Ren& Ingrid Daubechies.pdf

Probabilities And Potential CLAUDE DELLACHERIE.pdf

Probability And Information a m Yaglom.pdf

Probability Inequalities Probability inequalities Zhengyan Lin Zhidong Bai.pdf

Probability Theory The Logic of Science E. T. Jaynes Meditations of probability theory .pdf

Probability Via Expectation peter Whittle.pdf

Problems In Probability t m Mills.pdf

Pseudo Differential Operators Generating Markov Processes Walter.pdf

Python Language Primer mark lutz,david ascber.pdf

Random Matrices Mehta.pdf

Random Number Generation and Monte Carlo Methods James E. Gentle.pdf

Real Analysis with an Introduction to Wavelets and Applications Don Hong, Jianzhong Wang and Robert Gardner.pdf

S Programming w n Venables b d Ripley.djvu

SAS Programming and financial data processing Zhu Shiwu . PDF

Some Random Series Of Functions Kahane.pdf

splus intro longhow lam.pdf

splus Ustc Meng Qiang . PDF

Statistical Learning Theory vladinmir n Vapnik.pdf

Statistical Mechanics And Random Matrices Guionnet.pdf

Statistical Methods for Reliability Data WILLIAM Q. MEEKER.djvu

statistics and truth C. Radhakrishna Rao.pdf

Statistics For Long-memory Processes jan Beran.pdf

Stochastic Differential Equations Zenghu Li.pdf

Stochastic Differential Equations Zhongmin QIAN.pdf

Stochastic Finance An Introduction In Discrete Time Follmer.pdf

Stochastic Finance An Introduction In Discrete Time Hans F?llmer Alexander Schied.pdf

Stochastic Integration and Stochastic Differential Oleg Makhnin.pdf

stochastic processes amir dembo.pdf

Sums Of Independent Random Variables v v Petrov.pdf

survival analysis-Techniques for Censored and Truncated Data John P. Klein.pdf

Tex Amstex Latex Introduction to working with Li Yong . PDF

The C++ Programming Language Bjarne Stroustrup.pdf

The Capital Asset Pricing Model-Theory and Evidence Eugene F. Fama and Kenneth R. French.pdf

The Comprehensive LATEX Symbol List letex Encyclopedia of symbols Scott Pakin.pdf

The Elements of Statistical Learning Data Mining, Inference, and Prediction Trevor Hastie Robert Tibshirani.pdf

The Elements of Statistical Learning-Data Mining, Inference and Prediction Jerome Friedman Trevor Hastie Robert Tibshirani.djvu

the finite element method-A Practical Course G. R. Liu.pdf

The Inverse Function Theorem Of Nash And Moser RICHARD S. HAMILTON.pdf

The Latex Graphics Companion Goossens.pdf

The Little SAS Book 3ed lora d delwiche.pdf

The Little SAS Book 4ed lora d delwiche.pdf

The Not So Short Introduction To Latex Tobias Oetiker.pdf

The TeXBook knuth Chinese .pdf

the texbook knuth.pdf

Thinking in C++ Bruce Eckel 2ed.pdf

Thinking in C++ Bruce Eckel Chinese . PDF

Thinking in C++ Bruce Eckel.pdf

Thinking In Java 4ed Bruce Eckel.pdf

Time Series Analysis-univariate and multivariate methods william w s wei.pdf

Time-Frequency Time-Scale Analysis yves meyer.pdf

Tools for Statistical Inference martin a tanner.pdf

Topological Function Spaces a v Arkhangelskii.pdf

UML Distilled-a brief guide to the standard object modeling language martin flower 2ed.pdf

Encyclopedia of China Math . PDF

Critical point theory and its applications Zhang Gongqing . PDF

Algebraic eigenvalue problem J.H. Wilkinson .pdf

Leave random service system Tian Naishuo . PDF

Backward stochastic differential equations and its application Peng Shi GE . PDF

Elementary lectures on stochastic processes Ying Jiangang . PDF

With dynamic programming method Hamilton-Jacobi-Bellman Equation Yong Jiong sensitivity . PDF

Millennium Challenge seven reward 1000000 $ Math problems Devlin.pdf

Calculus lecture notes Zhang Gongqing . PDF

Multivariate statistical analysis Sun wenshuang . PDF

Symmetric bifurcation theory Tang Yun . PDF

Common inequalities Kuang Jichang . PDF

Theory of generalized functions Liu Haoyue . PDF

Application of time series analysis laboratory manual EVIEWS.doc

Application of stochastic processes Lin yuanlie Tsinghua . PDF

Application of stochastic processes Lin yuanlie . PDF

An introduction to stochastic processes Hu DIHE . PDF

Strong limit theorems Lin zhengyan . PDF

Mathematics and guess Polya.pdf

Typical problems and methods in mathematical analysis Pei Liwen . PDF

Mathematics Handbook .pdf

Mathematical model Jiang qiyuan . PDF

Mathematical model and lingo_lindo Software Qing Hua Xie Jinxing . PDF

Mathematical model method Qi Huan . PDF

New methods in data mining – Support vector machine Deng Naiyang Tian Yingjie . PDF

Mathematical statistics Wang Rongxin . PDF

Application of number theoretic method in statistics Kaitai . PDF

Time series analysis Xie zhongjie . PDF

Time series analysis Wei Wuwei NPC handout . PDF

Time series analysis – Higher-order statistics method – Zhang Xian .pdf

Time series analysis and dynamic data modeling Dr Khin . PDF

An introduction to time series analysis Chris Chatfield.pdf

Time series analysis and its application An Hongzhi . PDF

Theory of optimal stopping Zhou Yuan燊 . PDF

Principles and methods of optimization Xue Yi 2001. PDF

Probability limit theory Lin zhengyan . PDF

Lectures on functional analysis Guan Zhao Zhi . PDF

Mixing dependent variables limit theory Lu, Chuan-Rong . PDF

Special matrices Chen jingliang . PDF

Matrix analysis Yang Keshao . PDF

Matrix analysis Wang Chao-Rui . PDF

Matrix theory and its applications Jiang Zhengxin . PDF

Inequality in matrix theory Wang song GUI Jia loyalty . PDF

Operator function Li Guoping . PDF

Statistics Jia junping (Tsinghua 04 Edition). PDF

Statistical notes People’s Congress, Jia junping . PDF

English mathematics Mathematics between Chinese and English vocabulary Qi Yuxia . PDF

Modern introduction to probability – Measure Martingales and stochastic differential equations Yuan Zhendong . PDF

Lectures on stochastic analysis Kyprianou.pdf

Stochastic control Guo Shanglai . PDF

Random walks with martingale Ying Jiangang . PDF

Stochastic process Kiyoshi Itō . PDF

Stochastic process Dawn science . PDF

Stochastic processes based Ying Jiangang . PDF

Theory of random processes Shiliyayefu . PDF

Theory of random processes — Foundation, theory and applications Hu DIHE . PDF

Non-parametric statistics notes Sun Shanze . PDF

Nonlinear time series analysis An Hongzhi . PDF

An introduction to martingales and stochastic integrals Strict . PDF

Martingale analysis and its application Hu Bijin . PDF

Advanced algebra High-dimensional solutions . PDF

Advanced mathematical statistics Mao poem song . PDF

Advanced probability theory and its applications Hu DIHE . PDF

Flash Boys: A Wall Street Revolt – Michael Lewis

The Big Short: Inside the Doomsday Machine – Michael Lewis

Liar’s Poker – Michael Lewis

When Genius Failed: The Rise and Fall of Long-Term Capital Management – Roger Lowenstein

More Money Than God: Hedge Funds and the Making of a New Elite – Sebastian Mallaby

How I Became a Quant: Insights from 25 of Wall Street’s Elite – Richard Lindsey, Barry Schachter

My Life as a Quant: Reflections on Physics and Finance – Emanuel Derman

Financial Engineering: The Evolution of a Profession – Tanya Beder, Cara Marshall

The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It – Scott Patterson

Nerds on Wall Street: Math, Machines and Wired Markets – David Leinweber

Physicists on Wall Street and Other Essays on Science and Society – Jeremey Bernstein

The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance) – Alex Kuznetsov

Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life – Emanuel Derman

Heard on The Street: Quantitative Questions from Wall Street Job Interviews – Timothy Crack

Frequently Asked Questions in Quantitative Finance – Paul Wilmott

Quant Job Interview Questions And Answers – Mark Joshi, Nick Denson, Andrew Downes

A Practical Guide To Quantitative Finance Interviews – Xinfeng Zhou

Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance – Brett Jiu

Cracking the Coding Interview: 150 Programming Questions and Solutions – Gayle McDowell

Successful Algorithmic Trading – Michael Halls-Moore (my first trading book)

Advanced Algorithmic Trading – Michael Halls-Moore (my second trading book)

Quantitative Trading: How to Build Your Own Algorithmic Trading Business – Ernie Chan

Algorithmic Trading: Winning Strategies and Their Rationale – Ernie Chan

Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading – Rishi Narang

The Truth About High-Frequency Trading: What Is It, How Does It Work, and Is It a Problem? – Rishi Narang, Manoj Narang

Algorithmic and High-Frequency Trading – Álvaro Cartea, Sebastian Jaimungal, José Penalva

The Science of Algorithmic Trading and Portfolio Management – Robert Kissell

Algorithmic Trading and DMA: An introduction to direct access trading strategies – Barry Johnson

Volatility Trading – Euan Sinclair

Trading and Exchanges: Market Microstructure for Practitioners – Larry Harris

Schaum’s Outline of Statistics and Econometrics – Dominick Salvatore, Derrick Reagle

Introductory Econometrics for Finance – Chris Brooks

Introduction to Time Series and Forecasting -Peter Brockwell, Richard Davis

Time Series: Theory and Methods – Peter Brockwell, Richard Davis

Analysis of Financial Time Series – Ruey Tsay

Multivariate Time Series Analysis: With R and Financial Applications – Ruey Tsay

Time Series Analysis – James Douglas Hamilton

Options, Futures, and Other Derivatives – John Hull

A Primer For The Mathematics Of Financial Engineering – Dan Stefanica

Solutions Manual – A Primer For The Mathematics Of Financial Engineering – Dan Stefanica

Paul Wilmott Introduces Quantitative Finance – Paul Wilmott

Paul Wilmott on Quantitative Finance – Paul Wilmott

The Concepts and Practice of Mathematical Finance – Mark Joshi

More Mathematical Finance – Mark Joshi

Financial Calculus: An Introduction to Derivative Pricing – Martin Baxter, Andrew Rennie

An Introduction to the Mathematics of Financial Derivatives – Ali Hirsa, Salih Neftci

Principles of Financial Engineering – Robert Kosowski, Salih Neftci

Mathematics for Finance: An Introduction to Financial Engineering – Marek Capiski, Tomasz Zastawniak

Arbitrage Theory in Continuous Time – Tomas Bjork

The Complete Guide to Option Pricing Formulas – Espen Haug

Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit – Damiano Brigo, Fabio Mercurio

Interest Rate Modeling – Vol I: Foundations and Vanilla Models – Leif Andersen, Vladimir Piterbarg

Interest Rate Modeling – Vol II: Term Structure Models – Leif Andersen, Vladimir Piterbarg

Interest Rate Modeling – Vol III: Products and Risk Management – Leif Andersen, Vladimir Piterbarg

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives – Riccardo Rebonato, Kenneth McKay, Richard White

Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing – Chris Kenyon, Roland Stamm

Interest Rate Swaps and Their Derivatives: A Practitioner’s Guide – Amir Sadr

Term-Structure Models: A Graduate Course – Damir Filipovic

C++ for Quantitative Finance – Michael Halls-Moore (my C++ book on derivatives pricing)

Sams Teach Yourself C++ in One Hour a Day – Siddhartha Rao (7th edition, covering C++11)

C++: A Beginner’s Guide – Herbert Schildt

Accelerated C++: Practical Programming by Example – Andrew Koenig, Barbara Moo

Effective C++: 55 Specific Ways to Improve Your Programs and Designs – Scott Meyers

C++ Design Patterns and Derivatives Pricing – Mark Joshi

More Effective C++: 35 New Ways to Improve Your Programs and Designs – Scott Meyers

Effective STL: 50 Specific Ways to Improve Your Use of the Standard Template Library – Scott Meyers

Effective Modern C++: 42 Specific Ways to Improve Your Use of C++11 and C++14 – Scott Meyers

Discovering Modern C++: An Intensive Course for Scientists, Engineers, and Programmers – Peter Gottschling

The C++ Standard Library: A Tutorial and Reference – Nicholai Josuttis

The C++ Programming Language, 4th Edition – Bjarne Stroustrup

C++ Concurrency in Action: Practical Multithreading – Anthony Williams

Optimized C++ – Kurt Guntheroth

C++ Templates: The Complete Guide – David Vandevoorde, Nicolai Josuttis

The Linux Programming Interface: A Linux and UNIX System Programming Handbook – Michael Kerrisk

Advanced Programming in the UNIX Environment, 3rd Edition – W. Richard Stevens, Stephen A. Rago

Unix Network Programming, Volume 1: The Sockets Networking API (3rd Edition) – W. Richard Stevens, Bill Fenner, Andrew M. Rudoff

Design Patterns: Elements of Reusable Object-Oriented Software – Erich Gamma, Richard Helm, Ralph Johnson, John Vlissides

Learning Python, 5th Edition – Mark Lutz

Think Python, 2nd Edition – Allen Downey

Learn Python the Hard Way, 3rd Edition – Zed Shaw

Programming Python, 4th Edition – Mark Lutz

Python for Data Analysis: Data Wrangling with Pandas, NumPy, and IPython – Wes McKinney

Data Science from Scratch: First Principles with Python – Joel Grus

Data Wrangling with Python: Tips and Tools to Make Your Life Easier – Jacqueline Kazil, Katharine Jarmul

Python for Finance: Analyze Big Financial Data – by Yves Hilpisch

Effective Python: 59 Specific Ways to Write Better Python – Brett Slatkin

High Performance Python: Practical Performant Programming for Humans – Micha Gorelick, Ian Ozsvald

Python 3 Object-Oriented Programming, 2nd Edition – Dusty Phillips

Python Machine Learning – Sebastian Raschka

Introductory Statistics with R, 2nd Edition – Peter Dalgaard

A Beginner’s Guide to R – Alain Zuur, Elena Ieno, Erik Meesters

R in a Nutshell – Joseph Adler

Introductory Time Series with R – Paul Cowpertwait, Andrew Metcalfe

An Introduction to Applied Multivariate Analysis with R – Brian Everitt, Torsten Hothorn

R Cookbook – Paul Teetor

Machine Learning with R, 2nd Edition – Brett Lantz

Click Below To Learn More About…

Algo trading. Quant careers. Machine learning.

What do quant do ? A guide by Mark Joshi.

Click to access advice.pdf

Paul & Dominic ‘ s Guide to Quant Careers ( details see annex)

Career in Financial Markets 2011- a guide by efinancialcareers. http://static.efinancialcareers.com/assets/pdf/cifm/CIFM_US.pdf

Interview Preparation Guide by Michael Page: Quantitative Analysis. http://www.math.utah.edu/ugrad/finance/interviewprep1.pdf

Interview Preparation Guide by Michael Page: Quantitative Structuring. http://www.math.utah.edu/ugrad/finance/interviewprep2.pdf

Paul & Dominic ‘ s Job Hunting in Interesting Times Second Edition ( details see annex)

Peter Carr ‘ s a Practitioner ‘ s Guide to Mathematical Finance ( details see annex)

Max Dama ‘ s Guide to Automated Trading ( details see annex)

Basic Black-Scholes: Option Pricing and Trading by Timothy Crack

Elementary Stochastic Calculus With Finance in View by Thomas Mikosch

Financial Options: From Theory to Practice by Stephen Figlewski

Derivatives Markets by Robert L. McDonald

An Undergraduate Introduction to Financial Mathematics by Robert Buchanan

Monkey Business: Swinging Through the Wall Street Jungle

Reminiscences of a Stock Operator

Working the Street: What You Need to Know About Life on Wall Street

Fiasco: The Inside Story of a Wall Street Trader

Den of Thieves

Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives

The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History

Goldman Sachs : The Culture of Success

The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance

Wall Street: A History: From Its Beginnings to the Fall of Enron

The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown

On the Brink: Inside the Race to Stop the Collapse of the Global Financial System

House of Cards: A Tale of Hubris and Wretched Excess on Wall Street

Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves

Liquidated: An Ethnography of Wall Street

Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street

Problem Solving with C++ (8th Edition) by Walter Savitch

C++ How to Program (8th Edition) by Harvey Deitel

Absolute C++ (5th Edition) by Walter Savitch

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

Thinking in C++: Practical Programming, Volume Two by Bruce Eckel

The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)

Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers

C++ Primer (4th Edition) by Stanley Lippman

C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi

Financial Instrument Pricing Using C++ by Daniel Duffy

C# 2010 for Programmers (4th Edition)

Computational Finance Using C and C# by George Levy

C# in Depth, Second Edition by Jon Skeet

Programming F#: An introduction to functional language by Chris Smith

F# for Scientists by Jon Harrops (Microsoft Researcher)

Real World Functional Programming: With Examples in F# and C#

Expert F# 2.0 by Don Syme

Beginning F# by Robert Pickering

Matlab: A Practical Introduction to Programming and Problem Solving

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Excel 2007 Power Programming with VBA by John Walkenbach

Excel 2007 VBA Programmer’s Reference

Financial Modeling by Simon Benninga

Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets

Excel 2007 Formulas by John Walkenbach

Advanced modelling in finance using Excel and VBA by Mike Staunton

Implementing Models of Financial Derivatives: Object Oriented Applications with VBA

Learning Python: Powerful Object-Oriented Programming

Python Cookbook

FINITE DIFFERENCES

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

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

Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy

MONTE CARLO

Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)

Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)

Monte Carlo Methods in Financial Engineering, by Paul Glasserman

Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz

STOCHASTIC CALCULUS

Stochastic Calculus and Finance by Steven Shreve (errata attached)

Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal

VOLATILITY

Volatility and Correlation, by Riccardo Rebonato

Volatility, by Robert Jarrow (Editor)

Volatility Trading by Euan Sinclair

INTEREST RATE

Interest Rate Models – Theory and Practice, by D. Brigo, F. Mercurio updates available on-line Professional Area of Damiano Brigo’s web site

Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato

Interest-Rate Option Models, by Riccardo Rebonato

Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser

Interest Rate Modelling, by Nick Webber, Jessica James

FX

Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup

Mathematical Methods For Foreign Exchange, by Alexander Lipton

STRUCTURED FINANCE

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

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

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

Securitization, by Vinod Kothari

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

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

STRUCTURED CREDIT

Collateralized Debt Obligations, by Arturo Cifuentes

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

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

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

Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck

RISK MANAGEMENT/VAR

VAR Understanding and Applying Value at Risk, by various authors

Value at Risk, by Philippe Jorion

RiskMetrics Technical Document RiskMetrics Group

Risk and Asset Allocation by Attilio Meucci

SAS/S/S-PLUS

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

Modeling Financial Time Series with S-PLUS

Statistical Analysis of Financial Data in S-PLUS

Modern Applied Statistics with S

HANDS ON

Implementing Derivative Models, by Les Clewlow, Chris Strickland

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

NOT ENOUGH YET?

Energy Derivatives: Pricing and Risk Management, by Les Clewlow, Chris Strickland

Hull-White on Derivatives, by John Hull, Alan White 1899332456

Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)

Market Models, by C.O. Alexander

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

Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow

Black-Scholes and Beyond, by Neil A. Chriss

Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander

Mastering Risk: Volume 2 – Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander