金融 博士书籍
金融博士書籍
A:數學分析 微分方程
微觀金融學包括金融市場及金融機構研究、投資學金融工程學金融經濟學、公司金融財務管理等方面,宏觀金融學包括貨幣經濟學貨幣銀行學、國際金融學等方面,實證和數量方法包括數理金融學、金融計量經濟學等方面,以下書目側重數學基礎、經濟理論和數理金融學部分。
◎函數與分析
●集合論
☆Paul R. Halmos,Naive Set Theory 樸素集合論(美)哈莫斯(好書,深入淺出但過簡潔)
集合論(英文版)Thomas Jech(有深度)
Moschovakis,Notes on Set Theory
集合論基礎(英文版)——圖靈原版數學·統計學系列(美)恩德滕
●數學分析
○微積分
☆Tom M. Apostol, Calculus vol Ⅰ&Ⅱ(數學家寫的經典高等微積分教材/參考書,寫法嚴謹,40年未再版,致力于更深刻的理解,去除微積分和數學分析間隔,銜接分析學、微分方程、線性代數、微分幾何和概率論等的學習,學實分析的前奏,線性代數應用最好的多元微積分書,練習很棒,對初學者會難讀難懂,但具有其他教材無法具備的優點。Stewart的書范圍相同,也較簡單。)
Carol and Robert Ash,The Calculus Tutoring Book(不錯的微積分輔導教材)
★R. Courant, F. John, Introduction to Calculus and Analysis vol Ⅰ&Ⅱ(適合工科,物理和應用多)
Morris Kline,Calculus, an intuitive approach
Ron LarsonCalculus (With Analytic Geometry(微積分入門教材,難得的清晰簡化,與Stewart同為流行教材)
《高等微積分》Lynn H.Loomis / Shlomo Stermberg
Morris Kline,Calculus: An Intuitive and Physical Approach(解釋清晰的輔導教材)
Richard Silverman,Modern Calculus with Analytic Geometry
Michael,Spivak,Calculus(有趣味,適合數學系,讀完它或者Stewart的就可以讀Rudin的Principles of Mathematical Analysis或者Marsden的Elementary Classical Analysis,然后讀Royden的Real Analysis學勒貝格積分和測度論或者Rudin的Functional Analysis學習巴拿赫和希爾伯特空間上的算子和譜理論)
James Stewart,Calculus(流行教材,適合理科及數學系,可以用Larson書補充,但解釋比它略好,如果覺得難就用Larson的吧)
Earl W. Swokowski,Cengage Advantage Books: Calculus: The Classic Edition(適合工科)
Silvanus P. Thompson,Calculus Made Easy(適合微積分初學者,易讀易懂)
○實分析(數學本科實變分析水平)(比較靜態分析)
Understanding Analysis, Stephen Abbott,(實分析入門好書,雖然不面面俱到但清晰簡明,Rudin, Bartle, Browder等人畢竟不擅于寫入門書,多維講得少)
★T. M. Apostol, Mathematical Analysis
Problems in Real Analysis 實分析習題集(美)阿里普蘭斯,(美)伯金肖
☆《數學分析》方企勤,北大
胡適耕,實變函數
《分析學》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,實分析(英文版)
《數學分析八講》辛欽
☆《數學分析新講》張筑生,北大社 周民強,實變函數論,北大
☆周民強《數學分析》上海科技社
○測度論(與實變分析有重疊)
概率與測度論(英文版)(美)阿什(Ash.R.B.),(美)多朗-戴德(Doleans-Dade,C.A.)
☆Halmos,Measure Theory,測度論(英文版)(德)霍爾姆斯
○傅里葉分析(實變分析和小波分析各有一半)
小波分析導論(美)崔錦泰
H. Davis, Fourier Series and Orthogonal Functions
★Folland,Real Analysis:Modern Techniques and Their Applications
★Folland,Fourier Analysis and its Applications,數學物理方程:傅里葉分析及其應用(英文版)——時代教育.國外高校優秀教材精選 (美)傅蘭德
傅里葉分析(英文版)——時代教育·國外高校優秀教材精選 (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
○復分析(數學本科復變函數水平)
L. V. Ahlfors, Complex Analysis ,復分析——華章數學譯叢,(美)阿爾福斯(Ahlfors,L.V.)
★Brown,Churchill,Complex Variables and Applications Convey, Functions of One Complex Variable Ⅰ&Ⅱ
《簡明復分析》龔升, 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 《實分析與復分析》魯丁(公認標準教材,最好有測度論基礎)
Siegels,Complex Variables
Stein,Shakarchi,Complex Analysis 《復變函數》莊坼泰
●泛函分析(資產組合的價值)
○基礎泛函分析(實變函數、算子理論和小波分析)
實變函數與泛函分析基礎,程其衰,高教社
★Friedman,Foundations of Modern Analysis
《實變與泛函》胡適耕
《泛函分析引論及其應用》克里茲格 泛函分析習題集(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,實變函數與泛函分析
《數學分析習題集》謝惠民,高教社
泛函分析·第6版(英文版) K.Yosida
《泛函分析講義》張恭慶,北大社
○高級泛函分析(算子理論)
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]魯丁 (分布和傅立葉變換經典,要有拓撲基礎)
Zimmer,Essential Results of Functional Analysis
○小波分析
Daubeches,Ten Lectures on Wavelets
★Frazier,An Introduction to Wavelets Throughout Linear Algebra Hernandez,
《時間序列的小波方法》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(期權定價、動態分析)
○常微分方程和偏微分方程(微分方程穩定性,最優消費組合)
V. I. Arnold, Ordinary Differential Equations,常微分方程(英文版)(現代化,較難)
★W. F. Boyce, R. C. Diprima, Elementary Differential Equations and Boundary Value Problems
《數學物理方程》陳恕行,復旦
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
《常微分方程習題集》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(適合自學)
G. Simmons, Differntial Equations With Applications and Historecal Notes
索托梅約爾《微分方程定義的曲線》
《常微分方程》王高雄,中山大學社
《微分方程與邊界值問題》Zill
○偏微分方程的有限差分方法(期權定價)
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權定價)
★Wilmott,Dewynne,Howison,The Mathematics of Financial Derivatives (有限差分方法美式期權定價)
○統計模擬方法、蒙特卡洛方法Monte Carlo method in finance(美式期權定價)
★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經典書,匯集了各類金融產品)
☆Peter Jaeckel,Monte Carlo Methods in Finance(金融數學好,沒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(連續時間)
★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
○數值方法 、數值實現方法
Numerical Linear Algebra and Its Applications,科學社
K. E. Atkinson, An Introduction to Numerical Analysis
R. Burden, J. Faires, Numerical Methods
《逼近論教程》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
《數值逼近》蔣爾雄
《數值分析》李慶楊,清華
《數值計算方法》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
《數值線性代數》徐樹芳,北大
其他(不必)
《數學建模》Giordano
《離散數學及其應用》Rosen
《組合數學教程》Van Lint
◎幾何學和拓撲學 (凸集、凹集)
●拓撲學
○點集拓撲學
★Munkres,Topology:A First Course《拓撲學》James R.Munkres
Spivak,Calculus on Manifolds
◎代數學(深于數學系高等代數)(靜態均衡分析)
○線性代數、矩陣論(資產組合的價值)
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(經典教材,數學專業的線性代數,注意它講抽象代數結構而不是矩陣計算,難讀)
J. Hubbard, B. Hubbard, Vector Calculus, Linear Algebra, and Differential Forms: A Unified Approach
N. Jacobson,Basic Algebra Ⅰ&Ⅱ
☆Jain《線性代數》
Lang,Undergraduate Algeria
Peter D. Lax,Linear Algebra and Its Applications(適合數學系)
G. Strang, Linear Algebra and its Applications(適合理工科,線性代數最清晰教材,應用講得很多,他的網上講座很重要)
●經濟最優化
Dixit,Optimization in Economic Theory
●一般均衡
Debreu,Theory of Value
●分離定理
★Hildenbrand,Kirman,Equilibrium Analysis(均衡問題一般處理)
★Magill,Quinzii,Theory of Incomplete Markets(非完備市場的均衡)
★Mas-Dollel,Whinston,Microeconomic Theory(均衡問題一般處理)
★Stokey,Lucas,Recursive Methods in Economic Dynamics(一般宏觀均衡)
B:概率論、數理統計、隨機
◎概率統計
●概率論(金融產品收益估計、不確定條件下的決策、期權定價)
○基礎概率理論(數學系概率論水平)
★《概率論》(三冊)復旦
Davidson,Stochastic Limit Theory
Durrett,The Essential of Probability,概率論第3版(英文版)
★W. Feller,An Introduction to Probability Theory and its Applications概率論及其應用(第3版)——圖靈數學·統計學叢書
《概率論基礎》李賢平,高教
G. R. Grimmett, D. R. Stirzaker, Probability and Random Processes
☆Ross,S. A first couse in probability,中國統計影印版;概率論基礎教程(第7版)——圖靈數學·統計學叢書(例子多)
☆《概率論》汪仁官,北大
王壽仁,概率論基礎和隨機過程,科學社
☆《概率論》楊振明,南開,科學社
○基于測度論的概率論
測度論與概率論基礎,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
嚴加安,測度論講義,科學社
★鐘開萊,A Course in Probability Theory
○隨機過程微積分Introduction of diffusion processes (期權定價)
K. L. Chung, Elementary Probability Theory with Stochastic Processes
Cox,Miller,The Theory of Stochastic
★R. Durrett, Stochastic calculus
★黃志遠,隨機分析入門
黃志遠 《隨機分析學基礎》科學社
姜禮尚,期權定價的數學模型和方法,高教社
《隨機過程導論》Kao
Karlin,Taylor,A First Course in Stochastic Prosses(適合碩士生)
Karlin,Taylor,A Second Course in Stochastic Prosses(適合碩士生)
隨機過程,勞斯,中國統計
☆J. R. Norris,Markov Chains(需要一定基礎)
★Bernt Oksendal, Stochastic differential equations(絕佳隨機微分方程入門書,專注于布朗運動,比Karatsas和Shreve的書簡短好讀,最好有概率論基礎,看完該書能看懂金融學術文獻,金融部分沒有Shreve的好)
★Protter,Stochastic Integration and Differential Equations(文筆優美)
★D. Revuz, M. Yor, Continuous martingales and Brownian motion(連續鞅)
Ross,Introduction to probability model(適合入門)
★Steel,Stochastic Calculus and Financial Application(與Oksendal的水平相當,側重金融,敘述有趣味而削弱了學術性,隨機微分、鞅)
☆《隨機過程通論》王梓坤,北師大
○概率論、隨機微積分應用(連續時間金融)
Arnold,Stochastic Differential Equations
☆《概率論及其在投資、保險、工程中的應用》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,隨機過程論,科學
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(最佳的隨機微積分金融(定價理論)入門書,易讀的金融工程書,沒有測度論基礎最初幾章會難些,離散時間模型,比Naftci的清晰,Shreve的網上教程也很優秀)
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
○概率論、隨機微積分應用(高級)
Nielsen,Pricing and Hedging of Derivative Securities
Ross,《數理金融初步》An Introduction to Mathematical Finance:Options and other Topics
Shimko,Finance in Continuous Time:A Primer
○概率論、鞅論
★P. Billingsley,Probability and Measure
K. L. Chung & R. J. Williams,Introduction to Stochastic Integration
Doob,Stochastic Processes
嚴加安,隨機分析選講,科學
○概率論、鞅論Stochastic processes and derivative products(高級)
★J. Cox et M. Rubinstein : Options Market
★Ioannis Karatzas and Steven E. Shreve,Brownian Motion and Stochastic Calculus(難讀的重要的高級隨機過程教材,若沒有相當數學功底,還是先讀Oksendal的吧,結合Rogers & Williams的書讀會好些,期權定價,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 (深入淺出,要會實復分析、馬爾可夫鏈、拉普拉斯轉換,特別要讀第1卷)
★David Williams,Probability with Martingales(易讀,測度論的鞅論方法入門書,概率論高級教材)
○鞅論、隨機過程應用
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 (離散時間模型)
Hunt,Kennedy,Financial Derivatives in Theory and Practice
何聲武,汪家岡,嚴加安,半鞅與隨機分析,科學社
★Ingersoll,Theory of Financial Decision Making
★Elliott Kopp,Mathematics of Financial Markets(連續時間)
☆Marek Musiela,Rutkowski,Martingale Methods in Financial Modeling(資產定價的鞅論方法最佳入門書,讀完Hull書后的首選,先讀Rogers & Williams、Karatzas and Shreve以及Bjork打好基礎)
○弱收斂與隨機過程收斂
★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
◎運籌學
●最優化、博弈論、數學規劃
○隨機控制、最優控制(資產組合構建)
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
○控制論(最優化問題)
●數理統計(資產組合決策、風險管理)
○基礎數理統計(非基于測度論)
★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
數理統計學講義,陳家鼎,高教
★Gallant,An Introduction to Econometric Theory
R. Larsen, M. Mars, An Introduction to Mathematical Statistics
☆《概率論及數理統計》李賢平,復旦社
☆Papoulis,Probability,random vaiables,and stochastic process
☆Stone,《概率統計》
★《概率論及數理統計》中山大學統計系,高教社
○基于測度論的數理統計(計量理論研究)
Berger,Statistical Decision Theory and Bayesian Analysis
陳希儒,高等數理統計
★Shao Jun,Mathematical Statistics
★Lehmann,Casella,Theory of Piont Estimation
★Lehmann,Romano,Testing Statistical Hypotheses
《數理統計與數據分析》Rice
○漸近統計
★Van der Vart,Asymptotic Statistics
○現代統計理論、參數估計方法、非參數統計方法
參數計量經濟學、半參數計量經濟學、自助法計量經濟學、經驗似然
C:計量經濟學、數理金融
統計學基礎部分
1、《統計學》《探索性數據分析》 David Freedman等,中國統計 (統計思想講得好)
2、Mind on statistics 機械工業 (只需高中數學水平)
3、Mathematical Statistics and Data Analysis 機械工業(這本書理念很好,講了很多新東西)
4、Business Statistics a decision making approach 中國統計 (實用)
5、Understanding Statistics in the behavioral science 中國統計
回歸部分
1、《應用線性回歸》 中國統計 (藍皮書系列,有一定的深度,非常精彩)
2、Regression Analysis by example,(吸引人,推導少)
3、《Logistics回歸模型——方法與應用》 王濟川 郭志剛 高教 (不多的國內經典統計教材)
多元
1、《應用多元分析》 王學民 上海財大(國內很好的多元統計教材)
2、Analyzing Multivariate Data,Lattin等 機械工業(直觀,對數學要求不高)
3、Applied Multivariate Statistical Analysis,Johnson & Wichem,中國統計(評價很高)
《應用回歸分析和其他多元方法》Kleinbaum
《多元數據分析》Lattin
時間序列
1、《商務和經濟預測中的時間序列模型》 弗朗西斯著(側重應用,經典)
2、Forecasting and Time Series an applied approach,Bowerman & Connell(主講Box-Jenkins(ARIMA)方法,附上了SAS和Minitab程序)
3、《時間序列分析:預測與控制》 Box,Jenkins 中國統計
《預測與時間序列》Bowerman
抽樣
1、《抽樣技術》 科克倫著(該領域權威,經典的書。不好懂——就算看得懂每個公式,未必能懂它的意思)
2、Sampling: Design and Analysis,Lohr,中國統計(講了很多很新的方法,不好懂)
軟件及其他
1、《SAS軟件與應用統計分析》 王吉利 張堯庭 主編 (好書)
2、《SAS V8基礎教程》 汪嘉岡編 中國統計(主要講編程,沒怎么講統計)
3、《SPSS11統計分析教程(基礎篇)(高級篇)》 張文彤 北京希望出版社
4、《金融市場的統計分析》 張堯庭著 廣西師大(言簡意賅)
◎經濟和金融數學
◎計量經濟學,時間序列分析(回歸分析(用于套期保值分析),多元分析(主成份分析和因子分析(用于風險管理)))
John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, and Andrew Y. Lo ,The Econometrics of Financial Markets(金融經濟學簡明教材,不涉及宏觀金融(宏觀和貨幣經濟學),不好讀,需要一定經濟學和金融學基礎,水平沒有Duffie和Cochrane的高)
★John H. Cochrane,Asset Pricing(易讀,寫法現代,需要必要金融經濟學基礎,讀后可以看懂該領域論文,想學金融數學還是讀Duffie的吧)
☆Russell Davidson,Econometric Theory and Methods (講得最清晰的中級書,比格林的好讀得多,雖然沒林文夫的經典)
★Darrell Duffie,Dynamic Asset Pricing Theory(連續時間動態規劃,雖然易讀還是最好有泛函分析、測度論、隨機微積分和向量空間優化知識基礎,沒有Hull的好讀)
★Golderberg,A Course in Econometrics
☆William H. Greene ,Econometric Analysis(中級,應用計量經濟學經典,難讀,重點不突出,適合做參考書)
☆Gujarati,計量經濟學(初級經典,易讀但有點老舊)
☆林文夫Fumio Hayashi,Econometrics(中級,理論計量經濟學經典,頭兩章重要,要一定數學基礎和良師導讀,比格林書易讀)
Helmut Lütkepohl,Markus Krātzig,Applied Time Series Econometrics,《應用時間序列計量經濟學》
Ian Jacques,Mathematics for Economics and Business,《商務與經濟數學》
B. Jerkins,Time Series Analysis:Forecasting & Control
☆Peter Kennedy, A Guide to Econometrics(絕佳初級教材,通俗易懂,不次于伍德里奇的《現代方法》)皮特,《計量經濟學指南》
☆平狄克《計量經濟模型與經濟預測》Econometric Models and Economic Forecasts
平狄克《不確定性下的投資》
Roger Myerson, Curt Hinrichs, Probability Models for Economic Decision,《經濟決策的概率模型》
★J. H. Stock, M. W. Watson, Introduction to Econometrics
A. H. Studenmund,Introductory Econometrics with Applications,《應用計量經濟學》(基礎性)
T. J. Watsham, K. Parramore《金融數量方法》
★Jeffrey Wooldridge,Introductory Econometrics: A Modern Approach (初級,不側重數學推理,可自學,適合經濟類專業,不適合統計專業,Kennedy的書不次于它,古扎拉底的書比它深一些)
☆Wooldridge 伍德里奇,Econometric Analysis of Cross Section and Panel Data 《橫截面與面板數據的計量經濟學分析》(微觀計量理論的經典,Green和Hayashi兩本書的補充,需要初級或中級基礎,易讀)
邵宇《微觀金融學及其數學基礎》清華社
○時間序列建模、時間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
○數理金融學Econometrics of Finance
Abramowitz,Stegun,Handbook of Mathematical Functions
Briys,Options,Futures and Exotic Derivatives
★Brockwell, P. and Davis, Time series : theory and methods
☆《金融計量經濟學導論》克里斯·布魯克斯(Chris Brooks)
★Campbell, J.Y., A.W. Lo and A.C. MacKinlay, The econometrics of financial markets(消費的資本資產定價模型)
Cox,Huang,Option Pricing and Application,Frontiers of Financial Theory
Dempster,Pliska,Mathematics of Derivative Securities
☆Walter Enders, Applied Econometric Time Series(時間序列分析絕佳入門書,比漢密爾頓的經典易讀得多)
★Gourieroux, G., ARCH models and financial applications
★James Douglas Hamilton, Time series analysis《時間序列分析》漢密爾頓(時間序列經典,側重理論技術,不適合初學,需要一定基礎,統計和經濟都可用)
★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.
★《連續時間金融》羅伯特·莫頓(Robert Merton)Continuous time finance
★Mills, T.C., The econometric modelling of financial time series
★Muselia,Rutkowski,Martingale Models in Financial Modeling(連續時間、期權定價)
★Pliska,Introduction to Mathematical Finance:Discrete Time Models(離散時間模型高級教材) 數理金融學引論——離散時間模型
★Reinsel, G., Elements of multivariate time series analysis
《金融數學》Stampfli
☆Ross,An Introduction to Mathematical Finance:Options and other Topics, Ross S. M., 《數理金融初步》羅斯(Sheldon M.Ross)(投資組合)
Schachermayer,Introduction to the Mathematics of Financial Markets
★Tsay, R.S., Analysis of financial time series《金融時間序列分析》蔡瑞胸(Ruey S.Tsay)(美)
軟件:
1、EViews
2、SAS
◎微觀經濟學
★馬斯·科萊爾《微觀經濟學》Andreu Mas-Colell Green, Microeconomic Theory (高級頂尖,微觀的百科全書。一般均衡講得好,適合學完微分方程、實分析和線性代數的經濟系學生,商科學生能大部分領會就很可以啦。博弈論部分要結合Kreps書和Tirole《產業組織理論》來看)
☆《高級微觀經濟理論》Advanced Microeconomic Theory杰里/瑞尼 Geoffrey A. Jehle / Philip J. Reny (高級入門,前半部分寫得好,僅次于范里安,博弈論一般但簡潔。沒有馬斯科萊爾的全面和艱深,簡潔準確易懂,兩書相得益彰。比范里安和尼科爾森的分析深入,不想復雜地學高微就用它吧)
☆A Course in Microeconomic,David M. Kreps(高級,側重博弈論方法,其他一般,寫法輕松而嚴謹欠缺,馬斯科萊爾的補充)
★曼昆《經濟學原理》(初級)
☆Walter Nicholson etl,Microeconomic Theory: Basic Principles and Extensions(讓你很容易地掌握和愛上微觀,中級平狄克向高級馬斯科萊爾的過渡,博弈論薄弱些)
★平狄克Robert Pindyck《微觀經濟學》Microeconomics(中級,通俗簡單,涉及了微觀的各個方面,如博弈論和定價策略。適合初學,側重應用,數學與理論分析偏少,讓人知其然但不知其所以然。作為中級薄弱一些,適合商科中級)
★薩繆爾森《經濟學》(初級,但數學推理多)
★斯蒂格利茨《經濟學》(初級)
★范里安《微觀經濟學:現代觀點》Intermediate Microeconomics: A Modern Approach(中級,數學太少)
★范里安《微觀經濟學高級教程》(高級基礎,太短,用語言而不是數學來解釋概念,前半部分好,適合自學,單看意義不大,要先范里安再Kreps再科萊爾)Hal R. Varian,Microeconomic Analysis
☆張五常:《賣桔者言》(入門)
◎宏觀經濟學
奧伯斯法爾德、若戈夫:《高級國際金融學教程》Foundations of International Macroeconomics by Maurice Obstfeld and Kenneth S. Rogoff(寫法還可提高,高級,作者知名,應用和練習很多,比克魯格曼的難)
★Robert J. Barro, Economic Growth
★Olivier Blanchard布蘭查德《宏觀經濟學》Macroeconomics(適合金融或經濟學專業,數學比曼昆的難,有中級代數、三角學及非微積分統計,習題沒答案,其他專業還是看曼昆吧。作為中級好像難度大點(當然高級的數學更難),體系清楚)
布蘭查德Olivier Jean Blanchard《宏觀經濟學講義》Lectures on Macroeconomics(高級)(宏觀和貨幣經濟學,作為高級太簡單)
Dennis R. Appleyard,Alfred J. Field,《國際經濟學》
★多恩布什《宏觀經濟學》(中級)
☆克魯格曼《國際經濟學》(中級)
☆《經濟動態的遞歸方法》盧卡斯 (高宏最頂尖教材) recursive method in economics dynamics by Robert E. Lucas
★曼昆N. Gregory Mankiw《宏觀經濟學》Macroeconomics(中級,清晰簡明,像他的《原理》盡量簡單化,但是沒有付出怎會獲得?還是布蘭查德和多恩布什的專業些,再深的就是羅默了。)
★《高級宏觀經濟學》戴維.羅默 (高級入門) Advanced Macroeconomics by David Romer(覆蓋面廣,宏觀模型多,分析質量高,數學多解釋少,數學可以再簡明些,易引起混亂,開放的宏觀經濟學這本不夠,不適合作核心中級課本)
★薩爾瓦多《國際經濟學》
☆薩金特《動態宏觀經濟理論》(高宏基礎教材) Recursive Macroeconomic Theory by Lars Ljungqvist Thomas I. Sargent
薩克斯《全球視角的宏觀經濟學》
《金融經濟學》
◎經濟史/經濟思想史
《西歐金融史》
《美國經濟史》劍橋
《經濟分析史》
埃克倫德、赫伯特:《經濟理論和方法史》
Roger E. Backhouse,The History of Economic
Stanley L. Brue,The Evolution of Economic Thought,《經濟思想史》
斯皮格爾:《經濟思想的成長》
《經濟學中的分析方法》Akira Takayama
Michael Todaro,Stephen Smith,Economic Development,《發展經濟學》
◎金融學
Allen,Santomero,The Theory of Financial Intermediation,Journal of Banking and Finance
★《金融學》 滋維·博迪(Zvi bodie),羅伯特·莫頓(Robert Merton)
★《投資學》滋維·博迪(Zvi bodie),亞歷克斯·凱恩(Alex Kane),艾倫·馬庫斯(Alan Marcus)Investments(資本市場投資、利率及貼現)
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)
★馬杜拉《金融市場和結構》
Malkiel,A Random Walk Down Wall Street
Mayer,Money,Banking and the Economy 梅耶《貨幣、銀行與經濟》
McMillan,McMillan on Options
Mel’nikov,Financial Market-Stochastic Analysis and the Pricing of Derivative Securities
米什金《貨幣銀行學》
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
★《投資學》威廉·F·夏普(William F.Sharpe),戈登·J·亞歷山大(Gordon J.Alexander),杰弗里·V·貝利(Jeffery V.Bailey)Investments(資本市場投資、利率及貼現)
Shefrin,Behavioral Finance
《貨幣理論與政策》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《財務管理精要》
Richard A. Brealey, Stewart C. Myers, Principles of Corporate Finance《公司財務原理》
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
☆《公司理財》斯蒂芬·A.羅斯(Stephen A.Ross),羅德爾福W.威斯特菲爾德(Radolph W.Wdsterfield),杰弗利F.杰富(Jeffrey F.Jaffe)
☆《公司金融理論》讓·梯若爾(Jean Tirole)
Valuation:Measuring and Managing the Value of Companies
1.理論金融
資產定價:
★Duffie,Futures Markets(遠期合約和期貨合約)
Duffie: security market
★《金融經濟學基礎》黃奇輔(Chi-fu Huang),羅伯特·鮑勃·李茲森伯格(Robert H. Litzenberger)Foundation for financial economics
★Ingersoll: Theorey of financial decision making
Ross: Neoclassical Finance
證券承銷:
公司并購:
2.入門和綜合類
Amman: Credit risk valuation
★Baxter M., Rennie A., Financial Calculus : An Introduction to Derivative Pricing(金融工程必讀書,循序漸進地介紹隨機微積分,金融偏微分方程還是看Willmott吧,側重理論,僅需基本的微積分和概率論基礎)《金融數學衍生產品定價導論》
Bielecki, Rutkowski: Credit Risk : Modeling , Valuation and Hedging
★Tomas Bjork: Arbitrage theory in continuous time(Hull的后續中級書,連續時間、期權定價)
Cvitanic, Zapatero: Introduction to the economics and mathematics of financial markets
★Dana,Jeanblanc,Financial Markets in Continuous Time(連續時間)
Duffie Singleton: Credit Risk
★Elliott, Kopp: Mathematics of Financial markets
★Fouque,Papanicolau,Derivatives in Financial Markets with Stochastic Volatility(隨機波動率)
★Gourieroux,ARCH Models and Financial Applications(ARCH模型和GARCH模型)
★Harris:Trading and Exchanges: Market Microstructure for Practitioners(詳述不同類型證券交易)
★Options, Futures, and Other Derivatives《期權、期貨和其他衍生品》約翰·赫爾(John C.Hull) (衍生品和數理金融初級經典教材,期貨和期權市場組織、遠期合約和期貨合約、期權定價、期權交易)
Hull,J. C.,Risk Management and Financial Insititutions《風險管理與金融機構》
★Karatzas Shreve: Methods of mathematical finance(美式期權、隨機微分、連續時間動態規劃、鞅、連續時間模型高級教材)
☆Lawrence G. McMillan,Options as a Strategic Investment
Rrederic S. Mishkin, Financial Markets and Institutions《金融市場與金融機構》
★米什金《貨幣銀行和金融市場經濟學》
★Nelken,Pricing,Hedging,and Trading Exotic Options(奇異期權)
☆Sheldon Natenberg,Option Volatility & Pricing: Advanced Trading Strategies and Techniques
Edgar A. Norton,Introduction to Finance:Markets,Investments and Financial Management《金融學導論:市場、投資與財務管理》
★Lewis,Option Valuation under Stochastic Volatility:with Mathemetical Code(隨機波動率)
☆《金融工程原理》 薩利赫.內福斯(Salih N.Neftci)
Peter Rose, Sylvia C. Hudgins, Commercial Bank Management《商業銀行管理》
Peter S. Rose, Money and Capital Markets《金融市場學》
Shreve:Stochastic Calculus Models for Finance vol 1 & 2
Taleb:Dynamic Hedging
Lloyd B. Thomas, Money, Banking, and Financial Markets《貨幣,銀行業與金融市場》
☆《金融經濟學》 王江
Robert E. Whaley, Derivatives: Markets, Baluation, and Risk Management《衍生工具》
Paul Wilmott, Paul Wilmott introduces quantitative finance《金融計量經濟學》
Wilmott P.: quantitative finance(利率模型)
★Wilmott P.,Derivatives:The Theory and Practice of Financial Engineering(期權定價,偏微分方程方法用得好)
3. 固定收益
★Bielecki,Rutkowski,Credit Risk:Modeling,Valuation and Hedging(違約風險高級教材)
★Brigo,Mercurio,Interest Rate Models:Theory and Practice(固定收益證券和利率衍生產品)
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(固定收益債券、利率衍生產品)
★Martellini,Priaulet Fixed-Income Securities:Valuation,Risk Management and Portfolio Strategies(固定收益債券、利率衍生產品)
Mecurio,Fabio,Interest Rate Models and Practice
★Pelsser,Efficient Methods for Valuing Interest Rate Derivatives(固定收益證券和利率衍生產品) Schonbucher,Credit Derivatives Pricing Models
★Sundaresan,Fixed Income Markets and Their Derivaties(固定收益債券、利率衍生產品)森達里桑《固定收入證券市場及其衍生產品》
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
總結
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