Paths to enlightenment from Wilmott.com Forum

By Don Ramos,2014-09-07 18:33
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Paths to enlightenment from Wilmott.com Forum

?ê Ìâ: "Paths to enlightenment" from Wilmott.com Forum

    ??ÐÅÕ?: BBS Î?Ãû?Õ?äÕ? (Mon Aug 14 20:50:12 2006)

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0.0 First steps -- General:

    A. Black Scholes and Beyond: Option Pricing Models, N A Chriss B. Derivative Securities, R Jarrow, S Turnbull

    C. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska

0.1 First steps -- Interest rates:

    A. Fixed Income Analytics, K Garbade

0.3 First steps -- Stochastic Calculus:

    A. An Introduction to the Mathematics of Financial Deivatives, S N Neftci.

0.5. First steps -- Honourable mention:

    A. Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets, A J Baird

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1.0. Introductory -- General:

A. Options Markets, J C Cox, M Rubinstein

    B. Options, Futures, and Other Derivatives, J C Hull

    C. An Introduction to Mathematical Finance: Options and Other Topics, S M Ross

    D. Paul Wilmott Introduces Quantitative Finance, P Wilmott. E. The Mathematics of Financial Derivatives: A Student Introduction, P Wilmott, S Howison, J Dewynne

1.1 Introductory -- Interest rates:

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

1.2 Introductory -- Exotics:

    A. Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, H M Kat

1.3 Introductory -- Stochastic Calculus:

    A. Elementary Stochastic Calculus With Finance in View, T Mikosch.

1.4 Introductory -- Computational:

    A. Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab, E Z Prisman

1.5 Introductory -- Honourable mention:

    A. Investment Under Uncertainty, A K Dixit, R S Pindyck

    B. The Complete Guide to Option Pricing Formulas, E G Haug

    C. Real Options: Managerial Flexibility and Strategy in Resource Allocation, L Trigeorgis

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2.0 Halfway technical -- General:

    A. Quantitative Modeling of Derivative Securities From Theory To Practice, M Avellaneda, P Laurence

    B. Financial Calculus : An Introduction to Derivative Pricing, M Baxter, A Rennie

    C. Arbitrage Theory in Continuous Time, T Bjork

    D. Theory of Financial Decision Making, J E Ingersoll

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

    F. Mathematical Models of Financial Derivatives, Y K Kwok

    G. Continuous-Time Finance, R C Merton

    H. Paul Wilmott on Quantitative Finance, 2 Volume Set, P Wilmott.

2.2. Halfway technical -- Stochastic Calculus:

    A. Introduction to Stochastic Calculus with Applications, F C Klebaner

2.4. Halfway technical -- Computational:

    A. Implementing Derivatives Models, L Clewlow, Chr Strickland B. Pricing Financial Instruments: The Finite Difference Method, D Tavella, C Randall

2.5. Halfway technical -- Honourable mention:

    A. The Treasury Bond Basis, G D Burghardt, T M Belton, M Lane, J Papa. B. Dynamic Hedging, N Taleb.

    ============================================================================ ==========

3.0 Technical -- General:

    A. Options, Futures and Exotic Derivatives, E Briys, M Bellalah, H M Mai, F de Varenne

    B. Modelling And Hedging Equity Derivatives, O Brockhaus, A Ferraris, Ch Gallus, D Long, R Martin, M Overhaus

    C. Dynamic Asset Pricing Theory, D Duffie

    D. Derivatives in Financial Markets With Stochastic Volatility, J-P Fouque, G Papanicolaou, K R Sircar

    E. Mathematics of Financial Markets, P E Kopp, R J Elliott

    F. Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics, R Korn, E Korn

    F. Introduction to Stochastic Calculus Applied to Finance, D Lamberton, B Lapeyre, N Rabeau

    G. Martingale Methods in Financial Modelling, M Musiela, M Rutkowski H. Pricing and Hedging of Derivative Securities, L T Nielsen I. Essentials of Stochastic Finance: Facts, Models, Theory, A N Shiryaev

3.1 Technical -- Interest rates:

    A. Interest Rate Models Theory and Practice: Theory and Practice, D Brigo, Fabio Mercurio

    B. Efficient Methods for Valuing Interest Rate Derivatives, A Pelsser C. Interest-Rate Option Models: Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, R Rebonato

    D. Interest Rate Modelling: Financial Engineering, N Webber, J James

3.2 Technical -- Stochastic Calculus:

    A. Brownian Motion and Stochastic Calculus, I Karatzas, S E Shreve B. Stochastic Differential Equations, B Oksendal

    C. Stochastic Calculus and Financial Applications, J M Steele

3.5 Technical -- Honourable mention:

    A. Optimal Portfolios, R Korn

    B. Option Valuation under Stochastic Volatility, A L Lewis

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4.0 Hard core -- General:

    A. Security Markets: Stochastic Models, D Duffie

    B. Financial Derivatives in Theory and Practice, P J Hunt, J Kennedy C. Introduction to Option Pricing Theory, R L Karandikar, G Kallianpur D. Methods of Mathematical Finance, I Karatzas, S E Shreve

4.3 Hard core -- Stochastic Calculus:

A. Continuous Martingales and Brownian Motion, D Revuz, M Yor

B. Diffusions, Markov Processes, and Martingales (two volumes), L C G Rogers

, D Williams

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