【定位帖】主申欧洲金工方向

yueci1996UID：3740591

gemini15 发表于 2016-9-25 06:03
随便哪一本都行。或者你直接找本金融工程类的书看吧，看看Black-Scholes model里如何解对应的PDE那部分， ...

好的，非常感谢！

cheesechanUID：3505689

yueci1996 发表于 2016-9-20 19:29
好的，谢谢您的建议，方便问一下是否有您用过格外推荐的教材版本吗

1. 先讀 stochastic process, this is very important and fundamental for FE (at the end it is stochastic modelling.....), e.g. Ross's book in prob model, from Markov, Martingale, Poisson, to Brownian process and etc.....
2. measure-theoretical probability.......可以看Jacod 的probability essential.
3. if you want to have a simple (bachelor level) introduction of Black Scholes, I suggest you go to have a look of Wilmott's The Mathematics of Financial Derivatives: A Student Introduction, or Paul Wilmott Introduces Quantitative Finance
4. 之後再加就是stochastic calculus, 看Shreve的就是了. (first part of the book II of that will used in master sem 1 anyway), so don't spend too much time on it.

夠看一個summer有餘了.....

P.S. these are all about the Q-quant side indeed. I am not really sure if this is a good idea to study too deep on this Q side given the most exotic has gone with the wind after the crisis. but of course, having a basic idea (i.e. senior bachelor, and maybe also MFE level) is very useful, as the techniques are still useful for pricing for some still existing complex product.

yueci1996UID：3740591

cheesechan 发表于 2016-9-26 17:58
1. 先讀 stochastic process, this is very important and fundamental for FE (at the end it is stoc ...

好的，谢谢您，很感谢这么详细的回答，确实也解决了我一直以来知识比较零碎的问题，很受用。