Stanford 的 Master of financial mathematics program 应该是众多MFE program 比较好的一个,每年有许多人申请,而且Stanford本校的Ph. D好多也去辅修一个MFM 的学位。 这些资料和书籍是我根据那个program要求的主干课程整理的,有的除了课本和参考书外,还有lecture notes。这些notes一般就是我上课时老师用的。有些课我也没有上过,如果有notes的话就是我发信去问老师要来的,不过是两年前的东西,可能有点儿旧,但基本的方法应该差不多,还是有一定的参考价值的。我就从简单的课程开始逐一介绍,大伙儿如果觉得哪一部分有用,就根据自己的需要下载好了。 1. STAT 243 Introduction to Mathematical Finance
介绍最基本的方法,应该算是最基础的课程了,比较适合入门。除了lecture notes外,还有两本课本 (1) Arbitrage in Continuous time, by Tomas Bjork, 3rd edition (2) Mathematics of Financial Derivatives- A Student Introduction, by Wilmott 第一本是新版的,第二本是特别经典的一本书,想入门的朋友可以下来看一看。 STAT_243_Lecture Notes.rar (1.17 MB) , Arbitrage_Theory_in_Continuous_Time_3rd_Edition.pdf (2.57 MB) , Wilmott_The Mathematics_of_Financial_Derivatives_A_Student_Introduction.pdf (10.34 MB)
2. STAT 240 Statistical Methods in Finance 3. STAT 310 Theory of Probability
特别tough的课,但是如果想搞一些financial engineering的research又不得不学。老师的lecture notes 就已经很全面了,但感觉全都是干货,学起来比较吃力,倒是老师列举的一些课本和参考书读起来效果好的多。 (1) lecture notes. 这是一整年概率课的lecture notes,非常全面。 (2) Real analysis and probability by Dudley, 如果想从理论高度提高自身概率水平,不可错过。 (3) Probability: theory and examples by Durrett, 网上有很多第2,3版的下载,附件里是前几个月刚出的第四版。 (4) Probability and Measure, by Billingsley, 3rd edition, 超经典的理论概率入门。 (5) Probability with martingales, by David Williams, 特别好的入门书籍,我当初上课的时候什么都听不懂,就是拿这本书认真学了一些,慢慢的就懂一点儿了。 (6) Brownian Motion and Stochastic Calculus, by Karatzas and Shreve, 大家肯定都知道这书有多经典,板上好像贴了无数次了,我就不贴了,有兴趣的朋友搜一下就有了。 (7) Brownian motion, by Peter Maorters and Yuval Peres, 讲brownian motion有用。 STAT_310_classnotes.pdf (4.4 MB) , dudley_real_analysis_and_probability.pdf (5.71 MB) , Probabilit_Durrett_4ed.pdf (1.74 MB) ,
Probability_and_measure_3rd_Edition.rar (4.35 MB) ,
Williams, Probability with martingales.rar (4.16 MB) ,
Brownian_Motion.pdf (2.74 MB) .
4. MATH 227 Partial Differential Equations and Diffusion Processes MATH_227_Lecture_Notes.rar (1005.76 KB) ,
partial_differential_equations_an_introduction_strauss.rar (5.43 MB) 5. MATH 236 Introduction to Stochastic Differential Equations (1) Stochastic Differential Equations, by Oksendal, 6th edition (国内有卖) Oksendal_B_Stochastic_differential_equations_an_introduction_with_applications__6ed.pdf (10.04 MB) ,
Protter_Stochastic Integration_And_Differential_Equations_2ED.rar (3.06 MB) , Grimmett_Stirzaker_Probability_and_random_processes_3rd_Edition.rar (5.7 MB) 6. MATH 239 Computation and Simulation in Finance Text: Monte Carlo Methods in Financial Engineering by P. Glasserman MATH_239_Computation_and_Simulation_in_Finance(syllabus_and_Text).rar (12.66 MB) 7. MS&E 347 Credit Risk Modeling and Management MSE347-syllabus.pdf (43.28 KB) ,
Credit_Risk_Pricing_Measurement_and_Management.pdf (8.54 MB) , Credit_Risk_Modeling_Theory_and_Applications.pdf (2.45 MB) ,
An_Introduction_to_Credit_Risk_Modeling.pdf (4.98 MB) .
8. STAT 220 Stochastic Control in Continuous Time Background_Stochastic_processes_nnotes.pdf (2.55 MB) ,
Stat220notes.pdf (765.31 KB) , Oksendal_Applied stochastic_control_of_jump_diffusions.pdf (2.04 MB)
9. STATS 315B Modern Applied Statistics Data Mining Text: The Elements of Statistical Learning, by Hastie and etc. 2nd edition STATS_315B_coursewebaddress_and_Text.rar (7.18 MB) 下面几门是相关课程,不是MFM program要求的核心课程,但是许多想读FE PhD人都修过 Text: Investment Science, by Luenberger, (国内有卖) Oxford_Investment_Science_David_Luenberger.pdf (17.35 MB) 11. MS&E 321 Stochastic System Lecture_Notes.rar (1.89 MB) ,
Resnick_Adventures_in_Stochastic_Processes.pdf (10.98 MB), Karlin__Taylor_A_first_course_in_stochastic_processes_2ed.rar (4.79 MB) , A_Second_Course_in_Stochastic_Processes_Karlin_Taylor.rar (6.69 MB) ,
feller_introduction_to_probability_theory_vol1.rar (4.9 MB) , feller_an_introduction_to_probability_theory_and_its_applications_vol2.rar (10.19 MB) ,
Stochastic_Processes_Parzen.pdf (30.44 MB) ,
Theory_and_Applications_of_Stochastic_Processes.pdf (8.84 MB)
Lecture Notes.rar (7.01 MB) ,
Steele_Stochastic_Calculus_and_Financial_Applications.rar (1.3 MB) 其他相关资源。 13. Asset Pricing theory Asset_Pricing_Cochrane.pdf (3.88 MB) ,
Pennacchi_Asset_Pricing_Theory.rar (5.58 MB) , Dynamic_Asset_Pricing_Theory.pdf (19.14 MB)
14. Levy Processes
Portfolio_Optimization_and_Performance_Analysis.pdf (3.9 MB) ,
Robust_Portfolio_Optimization_and_Management.PDF (6.51 MB) 16. Other general method (1) Advances in Mathematical Finance by Michael Fu and etc. 补充几本有关 credit derivative 的书
1. Credit Risk: Models, Derivatives, and Management, Niklas Wagner (Editor), Chapman & Hall , 2008.
2. Understanding Credit Derivatives and Related Instruments (Academic Press Advanced Finance), by Antulio N. Bomfim, Academic Press, 2004 (NYU 的 finance 的 credit derivatives 的课本) 3. Credit Derivatives Pricing Models: Model, Pricing and Implementation, by Philipp J. Schönbucher and P.J. Schonbucher, Wiley, 2003 4. Credit Derivatives Handbook, Volume 1 and Volume 2, 2006 (两本简易的小册子,内容十分直观) |
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