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美国金融工程硕士教材[转]  

2012-05-28 13:00:48|  分类: 共享 |  标签: |举报 |字号 订阅

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注1:美国金融工程,比较好的学校的老师,主要还是以自己作的讲义为主,课本只是作为 参考。
 注2:使用的软件工具:Matlab(必不可少),R(多数采用)
 注2:课本名,【作者】,(使用的学校的校名)
 Modeling Fixed Income Securities and Interest Rate Options, [Robert Jarrow] (C ornell) Options, Futures and other Derivatives [Hull](Cornell, UCLA)
 Stochastic Calculus for Finance I: The Binomial Asset Pricing Model [Shreve] ( Cornell, UCLA,UMICH)
 Stochastic Calculus for Finance II: Continuous-Time Models [Shreve] (Cornell)
 Statistics and Data Analysis for Financial Engineering [Rupert](Cornell)
 Quantitative Risk Management: Concepts, Techniques, and Tools [Alexander J. Mc Neil, Rüdiger Frey, Paul Embrechts] (Cornell)
 Investments [Bodie, Kane and Marcus](MIT)
 Principles of Corporate Finance + S&P Market Insight [Richard Brealey, Stewart  Myers and Franklin Allen](MIT)
 Asset Pricing [John H. Cochrane] (MIT, UCLA)
 The Econometrics of Financial Markets [John Y. Campbell, Andrew W. Lo, A. Crai g MacKinlay and Andrew Y. Lo (Dec 9, 1996)] (MIT, UCLA)
 Principles of Financial Economics [by Stephen F. LeRoy, Jan Werner and Stephen  A. Ross (Nov 20, 2000) ](MIT)
 Theory of Financial Decision Making by Jonathan E. Ingersoll (Jun 28, 1987) (M IT)
 Business Dynamics: Systems Thinking and Modeling for a Complex World with CD-R OM by John Sterman and John D. Sterman (Feb 23, 2000)](MIT)
 Dynamic Asset Pricing Theory, Third Edition. [by Darrell Duffie (Nov 1, 2001)] (MIT)
 Oksendal, “Stochastic Differential Equations” (MIT)
 Grinold & Kahm, “Active Portfolio Management” (MIT)
 The Handbook of Fixed Income Securities, Eighth Edition [Frank J. Fabozzi and  Steven V. Mann (Dec 16, 2011)](UCLA)
 Fixed Income Securities Tools for Today’s Markets [ Tuchman] (UCLA)
 Quantitative Equity Portfolio Management [Chincarini] (UCLA)
 Quantitative Equity Portfolio Management: An Active Approach to Portfolio Cons truction and Management (McGraw-Hill Library of Investment and Finance) [Ludwi g B. Chincarini and Daehwan Kim (Jul 27, 2006)](UCLA)
 Value at Risk: The New Benchmark for Managing Financial Risk, [3rd Edition by  Philippe Jorion (Oct 19, 2006)](UCLA)
 Financial Risk Manager Handbook + Test Bank: FRM Part I / Part II (Wiley Finan ce)[ by Philippe Jorion and GARP (Global Association of Risk Professionals) (D ec 28, 2010)](UCLA)
 Arbitrage Theory in Continuous Time (Oxford Finance S.) [by Tomas Bj?rk ( May 6, 2004)](UMICH)
 Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied  Probability) [(v. 53) by Paul Glasserman](UMICH)
 The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmo tt, Sam Howison and Jeff Dewynne (Sep 29, 1995)(UMICH)

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