推荐的金融工程书目

杜鸿飞

数学基础：
Morris DeGroot, Introduction to Probability: Probability and Statistics, Third Edition, 2002.
Morris DeGroot, Introduction to Statistical Inference: Probability and Statistics, Third Edition, 2002
Bernt ?ksendal, 1995, Stochastic Differential Equations: An Introduction with Application, 4th ed. (Springer-Verlag, Berlin).
Fima Klebaner, 2001, Introduction to Stochastic Calculus with Applications. (Imperial College Press).

金融基础：
Bodie & Merton, Finance.
Bodie, Kane, and Marcus, Investments
Libby, Libby, and Short, Financial Accounting, 4th ed., McGraw-Hill, 2004

衍生产品：
Joseph Stampfli, and Victor Goodman, 2001, The Mathematics of Finance: Modeling and Hedging (Brooks/Cole, Thomson Learning, U. S. A.).
Salih N. Neftci, 2000, An Introduction to the Mathematics of Financial Derivatives, 2nd ed. (Academic Press, San Diego, CA).
Salih N. Neftci, 2004, Principles of Financial Engineering (Elsevier Academic Press, Amsterdam).
Baxter & Rennie, Financial Calculus : An Introduction to Derivative Pricing
Steven Shreve, 2000. Stochastic Calculus for Finance I and II.

Hull, 2009, Options, Futures, and Other Derivatives, 7th ed. (Prentice Hall, Upper Saddle River, New Jersey).

计量、时间序列、风险：
王江，Financial Economics
Campbell, J.Y., Lo, A.W. and MacKinlay, A.C. (1997). The Econometrics of Financial Markets.
Mills, T.C. (1993). The Econometric Modeling of Financial Time Series.
Philippe Jorion, Value at Risk

数值方法：
Andrew Koenig and Barbara E. Moo, Accelerated C++: Practical Programming by Example  (Aug 24, 2000)
Stanley B. Lippman, Essential C++
Bjarne Stroustrup, The C++ Programming Language: Special Edition
William H. Press, Saul A. Teukolsky, William T. Vetterling, Brian P. Flannery, Numerical Recipes 3rd Edition: The Art of Scientific Computing
Les Clewlow, Chris Strickland, Implementing Derivatives Models : Numerical Methods
   
课外读物：
Nicholas Dunbar, Inventing Money: the Story of Long-Term capital Management and the Legends Behind it, John Wiley & Sons, NY 2000
Peter L. Bernstein, Against the Gods: The Remarkable Story of Risk
Peter L. Bernstein, Capital Ideas: The Improbable Origins of Modern Wall Street, Free Press; Reprint edition (March 29, 1993)
Burton Gordon Malkiel, A Random Walk Down Wall Street, 8th Edition, W.W. Norton & Company, 2003