Posted by
Ferdinando M. Ametrano-2 on
Apr 18, 2002; 7:19am
URL: http://quantlib.414.s1.nabble.com/I-am-a-beginner-tp1993p1994.html
Hi all
here's my suggested bibliography. I'm probably going to publish it on the
QuantLib web site: any feedback is welcome.
ciao -- Nando
*** GENERAL
Paul Wilmott on Quantitative Finance
Paul Wilmott
Hardcover - 1064 pages 2nd revised edition (27 April, 2000)
John Wiley and Sons Ltd; ISBN: 0471874388
Options, Futures, and Other Derivatives with Disk
John C. Hull
Hardcover - 698 pages 4th (15 January, 2000)
Prentice Hall; ISBN: 0130224448
Black-Scholes and Beyond
Neil A. Chriss
Hardcover - 500 pages (30 September, 1996)
Irwin Professional (USA); ISBN: 0786310251
*** FINITE DIFFERENCES
Option Pricing
P. Wilmott
Hardcover (September 1993)
Oxford Financial Press; ISBN: 0952208202
Pricing Financial Instruments: The Finite Difference Method
Domingo Tavella, Curt Randall
Hardcover - 237 pages 1st (15 April, 2000)
John Wiley & Sons; ISBN: 0471197602
*** MONTE CARLO
Monte Carlo
Bruno Dupire (Editor)
Paperback - 340 pages (November 1999)
Risk Books; ISBN: 189933291X
*** STOCHASTIC CALCULUS
Steven Shreve: Stochastic Calculus and Finance
Shreve, Chalasani, Jha
free e-book
http://www-2.cs.cmu.edu/~chal/shreve.htmlAn Introduction to the Mathematics of Financial Derivatives, Second Edition
Salih Neftci
Hardcover - 527 pages 2nd Ed (30 June, 2000)
Academic Press; ISBN: 0125153929
*** INTEREST RATE
Interest Rate Models - Theory and Practice
D. Brigo, F. Mercurio
Hardcover - 500 pages (June 2001)
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG; ISBN: 3540417729
Interest-Rate Option Models
Riccardo Rebonato
Hardcover - 546 pages 2nd Ed (27 March, 1998)
John Wiley and Sons Ltd; ISBN: 0471979589
Interest Rate Modelling
Nick Webber, Jessica James
Paperback - 672 pages (5 April, 2000)
John Wiley and Sons Ltd; ISBN: 0471975230
Modelling Fixed Income Securities and Interest Rate Options
Robert A. Jarrow
Hardcover (October 1995)
McGraw Hill College Div; ISBN: 0070323739
*** VOLATILITY
Volatility and Correlation
Riccardo Rebonato
Hardcover - 360 pages (15 October, 1999)
John Wiley and Sons Ltd; ISBN: 0471899984
Volatility
Robert Jarrow (Editor)
Paperback - 356 pages (June 1998)
Risk Books; ISBN: 1899332464
*** VALUE AT RISK
VAR
Risk Books
Paperback - 397 pages (1997)
Risk Books; ISBN: 189933226X
Value at Risk
Philippe Jorion
Hardcover - 364 pages 2nd Ed (1 September, 2000)
McGraw-Hill Education; ISBN: 0071355022
RiskMetrics Technical Document
http://www.riskmetrics.com/techdoc.html*** RISK MANAGEMENT
Risk Management and Analysis: Measuring and Modelling Financial Risk
Carol Alexander (Editor)
Hardcover - 304 pages Revised Ed (12 November, 1998)
John Wiley and Sons Ltd; ISBN: 0471979570
Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to
Becoming a Master of Risk
Carol Alexander
Paperback - 264 pages 1 (24 October, 2001)
Pearson Education; ISBN: 0273654365
*** HANDS ON
Implementing Derivative Models
Les Clewlow, Chris Strickland
Hardcover - 330 pages (29 April, 1998)
John Wiley and Sons Ltd; ISBN: 0471966517
The Complete Guide to Option Pricing Formulas
Espen Gaarder Haug
Hardcover - 232 pages (October 1997)
Irwin Professional (USA); ISBN: 0786312408
*** EXCEL AND FINANCE
Advanced modelling in finance using Excel and VBA
Mary Jackson, Mike Staunton
Hardcover - 276 pages Bk&Cd-Rom (30 May, 2001)
John Wiley & Sons; ISBN: 0471499226
Financial Modelling
Simon Benninga
Hardcover - 640 pages 2nd Ed (2 October, 2000)
The MIT Press; ISBN: 0262024829
*** PROGRAMMING
The C++ Programming Language, Special Edition
Bjarne Stroustrup
Hardcover - 1040 pages Rev. Ed (11 February, 2000)
Addison Wesley; ISBN: 0201700735
Thinking in C++: Introduction to Standard C++, Volume One
Bruce Eckel
Paperback - 814 pages 2nd (15 April, 2000)
Prentice Hall; ISBN: 0139798099
also available as a free book from
http://www.mindview.net/BooksNumerical Recipies in C
also available on-line from
http://www.nr.com/GNU Autoconf, Automake, and Libtool
also available as a free book from
http://sources.redhat.com/autobook/Open Source Development with CVS
Karl Fogel
also available as a free book from
http://cvsbook.red-bean.com/UML Distilled
Martin Fowler, Kendall Scott
Paperback - 224 pages 2nd Ed (30 September, 1999)
Addison Wesley; ISBN: 020165783X
Learning Python
Mark Lutz, David Ascher
Paperback - 384 pages (26 April, 1999)
O'Reilly UK; ISBN: 1565924649
Programming Python
Mark Lutz, Guido van Rossum, Laura Lewin, Frank Willison
Paperback - 1296 pages 2nd Ed (14 March, 2001)
O'Reilly UK; ISBN: 0596000855
Python Essential Reference
David Beazley
Paperback - 400 pages 2nd Ed (30 June, 2001)
New Riders; ISBN: 0735710910
Python Programming on Win32
Mark Hammond, Andy Robinson
Paperback - 672 pages (January 2000)
O'Reilly UK; ISBN: 1565926218
*** EXCEL
Definitive Guide to Excel VBA
M. Kofler
Paperback - 800 pages (November 2000)
Apress; ISBN: 1893115798
Excel 2002 VBA Programmer's Reference
John Green, Stephen Bullen, Rob Bovey, Robert Rosenberg
Paperback - 1000 pages (September 2001)
Wrox Press Ltd; ISBN: 1861005709
Excel 2002 Power Programing with VBA
John Walkenbach
Paperback - 850 pages (2 July, 2001)
Hungry Minds Inc; ISBN: 0764547992
Excel 2002 Formulas
John Walkenbach
Paperback - 831 pages (3 December, 2001)
Hungry Minds Inc; ISBN: 076454800X
Microsoft Excel 2002 Visual Basic for Applications Step by Step
Reed Jacobson
Paperback - 368 pages Bk&Cd-Rom (12 September, 2001)
Microsoft Press; ISBN: 0735613591
*** FORTHCOMING
New Directions in Mathematical Finance
Paul Wilmott (Editor), Henrik Rasmussen (Editor)
Hardcover - 224 pages (28 February, 2002)
John Wiley and Sons Ltd; ISBN: 0471498173
Modern Pricing of Interest Rate Derivatives
Riccardo Rebonato
Hardcover (31 July, 2002)
Princeton University Press; ISBN: 0691089736
Dynamic Hedging (Revised Edition)
Nassim Taleb
Hardcover - 558 pages (16 August, 2002)
John Wiley & Sons Inc; ISBN: 0471353477
*** NOT ENOUGH YET?
Energy Derivatives
Les Clewlow, Chris Strickland
Hardcover (August 2000)
Lacima Group; ISBN: 0953889602
Hull-White on Derivatives
John Hull, Alan White
Paperback - 356 pages (June 1996)
Risk Books; ISBN: 1899332456
Exotic Options: The State of the Art
Les Clewlow (Editor), Chris Strickland (Editor)
Hardcover (June 1997)
International Thomson Business Press; ISBN: 0412631709
Market Models
C.O. Alexander
Hardcover - 514 pages (26 September, 2001)
John Wiley and Sons Ltd; ISBN: 0471899755
Nelken's books