Fw: [情報] 隨機解析暨數理金融投資學書單
這是TEDxTaipei的胡一天(哥大MSc FE master)
當年在念機械智能時開的書單
雖然有些書舊了 不過數學部分好像還是沒差
轉來本版供有需要版友參考
※ [本文轉錄自 kkkk123123 信箱]
作者: kkkk123123.bbs@ptt2.cc (kkkk123123.bbs@ptt2.cc)
標題: Fw: [情報] 隨機解析暨數理金融投資學書單
時間: Sun Apr 6 11:49:09 2014
作者: kkkk123123 (Tolas)
標題: Fw: [情報] 隨機解析暨數理金融投資學書單
時間: Fri Nov 21 13:58:17 2008
※ [本文轉錄自 kkkk123123 信箱]
作者: kkkk123123.bbs@ptt.cc (kkkk123123.bbs@ptt.cc)
標題: [情報] 隨機解析暨數理金融投資學書單
時間: Fri Nov 21 13:58:17 2008
作者: epoch2 (被好茶灌醉的作家) 看板: ck48th326
標題: [情報] 隨機解析暨數理金融投資學書單
時間: Mon Jan 31 13:39:29 2005
反正不管我有沒有上商學院財經博士班，隨機解析都是必備知識。
從去年夏天開始我陸陸續續也唸了不少高等數學，也翻了不少書。
尤其是去冬在哥大超名師Karatzas教授手下拿到高分以後，自覺
對分析還算有一點心得。順手將幾本我唸(翻)過的相關書籍羅列
於此，有興趣者可自行參閱。
1. Kolmogorov & Fomin, <<Introductory Real Analysis>>
2. Ash & Doleans-Dade, <<Probability & Measure Theory>>
3. Kai Lai Chung, <<A Course in Probability Theory>>
4. Karatzas & Shreve, <<Brownian Motion & Stochastic Calculus>
5. Karatzas & Shreve, <<Methods of Mathematical Finance>>
6. Shreve, <<Stochastic Calculus for Finance I>>
7. Shreve, <<Stochastic Calculus for Finance II>>
8. Bingham & Kiesel <<Risk-Neutral Valuation>>
9. Oksendal, <<Stochastic Differential Equations>>
10. Duffie, <<Dynamic Asset Pricing Theory>>
11. James, <<Option Theory>>
12. Merton, <<Continuous-Time Finance>>
13. Brockwell & Davis <<Time Series: Theory & Methods>>
14. Tsay, <<Analysis of Financial Time Series>>
15. Zivot & Wang, <<Modeling Financial Time Series with S-Plus>>
16. Taleb, <<Dynamic Hedging: Managing Vanila & Exotic Options>>
17. Hull, <<Options, Futures, & Other Derivatives>>
18. Elton, Gruber et al.<<Modern Portfolio Theory & Investment Analysis>>
19. Litterman, <<Modern Investment Management:An Equilibrium Approach>>
20. Glasserman, <<Monte Carlo Methods in Financial Engineering>>
21. Campbell, Lo, et al <<The Economics of Financial Markets>>
其實像這類書單在Amazon.com上很多，都大同小異。若真有心想鑽研隨機解析者，
1~10為必讀。實分析我只唸了Kolmogorov那本，算是只得皮毛。有心人應該從Rudin
或Royden入手。Gelbaum & Olmsted著有一本分析學反例，據稱十分精采，亦可參考。
Rudin, <<Principles of Mathematical Analysis>>
Rudin, <<Real & Complex Analysis>>
Rudin, <<Functional Analysis>>
Royden, <<Real Analysis>>
Folland, <<Real Analysis: Modern Techniques & Applications>>
Gelbaum & Olmsted, <<Counterexamples in Analysis>>
無窮維解析的大師Paul Malliavin今年六月會出一本隨機變分學，也許我會弄來看。
Malliavin, <<Stochastic Calculus of Variations in Mathematical Finance>>
若有人想要重新溫習大一微積分的話，建議從Courant & John的名著開始:
Courant & John, <<Introduction To Calculus & Analysis Vol. I/II>>
如果只想學習MBA等級的投資學與財務管理的話，可從以下三本入手: (有中譯本)
Bodie, Kane, Marcus, <<Investments>>
Ross, Westerfield, Jaffe, <<Corporate Finance>>
Bernstein & Wild, <<Analysis Of Financial Statements>>
想學習股神Buffett的致富秘訣者，請唸他哥大商學院老師的經典:
Graham, <<The Intelligent Investor>>
對數理金融科幻小說(規範場論+資產定價)有興趣者，可參考:
Ilinski, <<Physics Of Finance: Gauge Modeling in Non-equilibrium Pricing>>
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※ 轉錄者: kkkk123123 (114.35.25.73), 04/06/2014 11:49:22
※ 編輯: kkkk123123 (114.35.25.73), 04/06/2014 11:57:30
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