入门书籍：Entry books :

1.Futures, Options and other derivatives--by John Hull.（买）1.Futures. Options and other derivatives--by John Hull. ( shoplifting)

聪聪推荐：这本书不用多说了，买就是了。Cong Recommended : This book Needless to say, they buy the grindstone. 不管是找工作还是senior quant都会用到。Whether looking for work or senior quant will be used.

John Hull 也是非常厉害的，各个方面都有开创性的成果。John Hull is very powerful, all aspects of the pioneering achievements. 现在Toronto Uni.Uni now Toronto.

本人看法：经典中的经典，涉猎还算广泛，不过不够数学----人称华尔街的圣经，自然不算很难。I view : classical classics, studied fairly extensively, but not math-called Wall Street Bible, Nature is not very difficult.

2.Arbitrage theory in continuous time--by Tomas Bjork.（借）2.Arbitrage theory in continuous Tom time--by as MP. (through)

聪聪推荐：这本书非常适合数学/物理背景的人读，注重数学理论的培养。Cong Recommended : This book is suitable for math / physics background of the time, pay attention to the cultivation of mathematics. 本来我觉得也没什么，但是被公司老板大加赞扬后就改变看法了。Originally, I think there is not much, but company executives were highly praised after the change of views. 。. 。. Bjork现在瑞典SSE。MP Sweden SSE now.

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

3.Financial Calculus--Martin Baxter& Rennie（借）3.Financial Calculus--Martin Baxter& Rennie (through)

聪聪推荐：非常薄但是elegant的一本书，1996年，算是比较早了，但是和Hull的那本书齐名。Cong Recommended : very thin but elegant in a book in 1996, as a relatively late. But Hull and the enjoying the book. 也是聪聪的first book。Cong is the first book. 作者1现在野村证券伦敦（nomura)，作者2在美林伦敦(ml)，都是fixed income。Now an author Nomura Securities in London (nomura), the two authors in the United States Linlundui (ml). are fixed income.

本人看法：没看过。I view : never seen. 图书馆有，但是holder之多不知道我在毕业前是否轮的到。Library, but the holder as much as I do not know whether the graduation of the round. 鉴于是入门书籍，如果借不到就算了，以后有机会再补。As is the entry books, failed to borrow even if in the future the opportunity to stop.

4.Financial calculus for finance II--Shreve（印）4.Financial calculus for finance II--Shreve ( India)

聪聪推荐：Shreve的新书，非常elegant， 非常仔细，非常数学完备，适合数学背景， 但是比较厚，对于入门来说还是3好。Cong Recommended : Shreve's latest book, very elegant, very careful and very comprehensive mathematics, suitable mathematical background, but the thick, portal or three good example. 作者现在CMU纽约。The author now CMU New York. 教授。Professor. 顶尖人物。Top figures.

本人看法：和 I 一起印了，因为无数人推荐。I view : India and I together, because so many people recommend. I是讲离散模型，II讲连续模型。I refer to the discrete model, II stresses continuous model. QJ美女一直对Shreve赞赏有加，害得我也充满了对此人的幻想。QJ beauty of Shreve has been appreciated more, I also depriving a person full of fantasies.

4.5 Martingale methods in Financial modelling--Musiela & Rutkovski（借）4.5 Financial Martingale methods in modeling --Musiela & Rutkovski (through)

聪聪推荐：也很好的，作者现在BNP(巴黎银行）和华沙理工？Cong recommended : the good, the authors present BNP (Paris bank) and the Warsaw Polytechnic? 都是顶尖人物。Is the top figure.

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

数学背景Mathematical background

5. Brownian motion and stochastic calculus--Shreve& Karasatz5. Brownian motion and stochastic calculus--S hreve& Karasatz

聪聪推荐：如果想在这一行发paper或者搞研究的话，或者读phd, 这是必须的。Cong recommendation : If you want to visit in this paper, or engage in the study, or phd time, it is essential. 但是书比较难，要有心理准备。But book more difficult, to be psychologically prepared. 作者2是哥大教授。Columbia is the author of two professors. 他们俩还有一本书我正在读，1998年写的，但是很难，不推荐。They both have a book I was reading, in 1998 wrote, it is difficult and not recommended.

本人看法：借不到。I view : can not use. ~~~><~~~~ 不过好在我不搞研究，暂时不考虑这本。Fortunately, I ~~~><~~~~ But not to pursue the research, not to consider this.

6.Stochastic differential equations：....--Oksendal（印）6.Stochastic differential equations : .... --Oksendal (India)

聪聪推荐：如果你觉得5比较难，就读这一本，会少很多东西，但是更实用！Cong Recommended : If you think five more difficult, the study of this, things would be a lot less, but more practical! 作者在挪威什么学校。Author what schools in Norway. 。. 。. 忘记了。Forgotten.

本人看法：stochastic calculus for financial math的课本，的确比较精简实用。I view : stochastic calculus for financial math textbooks, is more streamlined practical. 但有些问题还是讲的不够透彻。But some say the problem or thorough enough.

7.Stochastic integration and differential equations--Protter（借）7.Stochastic integration and differential eq uations--Protter (through)

聪聪推荐：如果觉得5比较不难，就读这一本。Cong Recommended : If it is not difficult to find five more, that the study. 我的导师的入门书。I mentor introductory book. 。. 。. 作者原来在普渡，现在康纳尔。Purdue in the original author, Cornell.

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

8.Numerical analysis---任何作者8.Numerical analysis--- any author

聪聪推荐：当然作为Phd学生，葱葱还拥有 Mathematics of Arbitrage & Malliavin calculus 等一些 advanced 书籍，我就不推荐了，因为对绝大多数人来说（包括我自己。。。）都太难了。Cong recommend : Of course, as PhD students Cong also owns Mathematics of Arbitrage & Malliavin cal culus and other advanced books, I would not recommend, because the majority of the people (including myself ...) are too difficult. 。. 。.

本人看法：还好我不是phd，挖哈哈哈。I view : Fortunately, I am not a phd, digging Hahaha.

Junior quant：Junior quant :

9.Concepts and practice of Mathematical Finance--Mark Joshi（借）9.Concepts and practice of Mathematical Finan ce--Mark Joshi (through)

聪聪推荐：非常适合刚入行的quant，对于学生不推荐。Cong Recommended : very suitable for the novice to the quant for students not recommended. 非常实用，作者非常聪明。Very practical, very clever writer. 写书的时候在 RBS伦敦。When I write a RBS in London.

本人看法：hold乐，可以借来看看。I view : hold music, can be borrowed to see.

10. C++ design patterns and derivatives pricing--Mark Joshi10. C + + design patterns and derivatives pricin g--Mark Joshi

聪聪推荐：对于懂得C++基础的人来说很重要，更重要的是教你学会Monte Carlo。Cong Recommended : C + + to understand the basis of people is very important. more important is to teach you Institute Monte Carlo.

本人看法：图书馆没有，暂时不考虑。I view : the library does not have, not to consider.

11. Modeling derivatives in C++ --Justin London（印）11. Modeling derivatives in C + + --Justin Londo n (India)

聪聪推荐：其实这一本就够了，各种model如何编程都有写，虽然这些model比较老呵呵。Cong Recommended : in fact enough that the various programming model is how to write, Although these model veteran Ha ha. 最实用的一本书！The most practical one book! ！! 作者现在美国，具体干什么不清楚，拿了无数个学位。The author is now in the United States do not specifically won numerous places.

本人看法：很厚的一本书，model覆盖全面。I view : a very thick one, comprehensive coverage model. 聪聪记错了书名，卡卡。Cong wrong title, Qa `qa.

Senior quantSenior quant  我不够格！I do not qualify! 大家看看当作搞笑吧）We look at it as a joke)

12&13&14: Effective C++/More effective C++/effective STL--Scott Meyer12&13&14 : Effective C++/More effective C++/effective S TL--Scott Meyer

聪聪推荐：C++太重要了！Cong Recommended : C + + is too important! 我现在最愁的就是我的编程了！I worry about the most is my program! 作者在美国，C++的顶尖人物。The author in the United States, the top figure in C + +.

15. Numerical recipes in C++--William, Saul（电子版）15. Numerical recipes in C++--William. Saul (electronic version)

聪聪推荐：计算方法，非常重要的一本书！Cong Recommended : calculation method, it is very important that a book! 作者都在美国各个实验室？The author has laboratories in the United States?

本人看法：暂时都不考虑，有空再看。I view : For the time being does not consider, go look at.

各个专门方面：（这个大家就别信我了，看看再说）Specialized areas : (everyone on the other letter I see repeat)

Interest rateInterest rate

16.Interest rate models and practice --Mecurio& Fabio16.Interest rate models and practice --Mecuri Fabio o&

聪聪推荐：rates非常好的一本书，适合quant读，比较数学。Cong Recommended : rates a very good book for quant reading, mathematics comparison. 作者都在Banc IMI，意大利的一家bank。Banc author in IMI, an Italian bank.

本人看法：借不到。I view : can not use. ~~~><~~~~~~><~~~

17.Modern Pricing of interest rate derivatives--Rebonato（印）17.Modern Pricing of interest rate derivative s--Rebonato (India)

聪聪推荐：当当当当！Cong Recommended : Dangdang Dangdang. 我的偶像登场了！My idol is here! 这本书我现在看，主要是Libor market model，作者在RBS伦敦，顶尖人物。This book now I do mainly Libor market model, the author of RBS London, top figures.

再次说一遍，我是他的fans!Again and again, and I was his fans!

本人看法：很实用的一本书，给出了calibration的方法。I view : a very practical one, is a calibration method.

equityEquity

18&19: Option pricing formulas / Exotic options--Haug/Zhang18&19 : Option pricing formulas / Exotic options--Hau g/Zhang

聪聪推荐：没看过，也就不说了。Cong Recommended : never seen, it is not that. （shy。。。）作者都在纽约(Shy ...) writer in New York

creidtCreidt

20： Credit risk--Lando20 : Credit risk--Lando

聪聪推荐：作者在丹麦一家商学院，我是买的这一本。Cong recommend : an author in Denmark Business School, I bought this this.

21： Credit derivatives pricing models--Schonbucher（印）21 : Credit derivatives pricing models--Schonbuc her (India)

聪聪推荐：作者是传奇人物！Cong Recommended : The writer is a legend! 非常年轻非常厉害，现在ETH-Zurich，ETH有很多顶尖专家。Very young very powerful, ETH-Zurich, ETH many leading experts. 。. 。.

本人看法：credit pricing的启蒙书，还是非常不错的，就是对概率的要求比较高。I view : credit pricing of the Enlightenment, or very good, is the probability of the requirements are relatively high.

stochastic volatilityStochastic volatility

22. Option valuation in stochastic vol--Alan lewis22. Option valuation in stochastic vol--Alan l Lewis

聪聪推荐：非常厉害的一本书！Cong recommend : the magnitude of a book! 也很难，适合物理背景。Also difficult for physics background. 作者在加州The author in California

本人看法：适合物理背景的，那么我就跳过了。I view : suitable for the physical background, so I skip the.

23.Volatility and correlation : the perfect hedger and the fox --Rebonato（借）23.Volatility and correlation : the perfect hedger and the fox --Rebonato (through)

聪聪推荐：正在看，比较偏向rates， 我的偶像的书当然要捧啦Cong Recommended : reading, in favor rates, my idols, the book extolled course!

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

24. Stochastic implied vol--忘记作者了<br /> 聪聪推荐：买了，但是觉得不值-。24. Stochastic implied vol-- forget the author "br> Cong recommend : buy, but think that beneath-. 。. ==

本人看法：那么当然跳过了。I view : Then of course the skip.

25.Mathematical methods for foreign exchange--Alex Lipton（借）25.Mathematical methods for foreign exchange --Alex Lipton (through)

聪聪推荐：很详细的一本书，quant必读，作者在纽约 Citigroup?Cong recommend : a very detailed one, quant carefully, the author of the New York Citigroup?

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

Credit riskCredit risk

26. Copula methods in Finance --Umberto Cherubini.（借）26. Copula methods in Finance --Umberto Cherub ini. (through)

聪聪推荐： Copula 是用来求联合分布的，其实用一般理论也能求，但是copula直观很多，简化很多，据说最初提出人之一是个中国人， David Li,现在 Citigroup 还是 BarCap 忘记了。Cong Recommended : Copula is used for the joint distribution, with the general theory can also request But many Bounds intuitive, simplified, is said to have initially proposed one is a Chinese, David Li, BarCap now Citigroup or forgotten. 这里要提一下 Barclay Capital，成立才没几年，现在很多方面都是世界顶尖的了，连去年的 quant of the year 都是他家的。Here, we must mention Barclays Capital, not only established a few years, Now many aspects of the world's top last year, the quant of the year was his home.

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

Numerical Methods;Numerical Methods;

27. Monte Carlo methods in fianncial engineering.-- Paul Glasserman(印)27. Monte Carlo methods in fianncial engineeri ng.-- Paul Glasserman (India)

聪聪推荐：作者在纽约哥大，算是顶尖人物之一了，最近在研究Levy process。Cong Recommended : Author Columbia University in New York, is one of the top figures in recent studies Levy process. 这本书很好，但由于是academic 写的，有点太学术了。This book is very good, but because of academic writing, a bit too academic. quant一般会买另外一本书-----Quant usually buy another one book -----

本人看法：原来印了这本，还没时间看。I view : the original printed this is not yet time to read.

28. Monte Carlo in finance.--Peter Jackel28. Monte Carlo in finance.--Peter Jackel

聪聪推荐：作者原来在RBS 伦敦，现在在ABN Amro伦敦。Cong recommend : the original author of the RBS in London, ABN Amro in London. 这本书太实用了！This book is too useful! 用MC的都应该有一本。With the MC should have one.

29.Financial Engineering with Finite Element--作者忘记了<br /> 聪聪推荐：这本书是用有限元方法，其实和 finite diferece 很像，书里面自称会更好。29.Financial Engineering with Finite Element -- Author forget the "br> Cong Recommended : This book is the finite element method, In fact, and the finite diferece Chan, the book which claims to be better. 当初头脑发热买了一本，之后没看过。Originally bought the hotheaded one, after never seen. 。. 。. 。. 罪过啊罪过！Sin sin ah! 作者现在在德国。The author is now in Germany.

本人看法：跳过。I view : skip.

Financial MarketsFinancial Markets

以下这些书呢，是我每天睡觉前看的。Following these books, it is my daily bedtime read. 。. 。. 。. （什么？你们怎么也知道 Penthouse？？难道被发现了？。。。其实 Penthouse这样的杂志只买过一本，好贵啊，之后就没买了。。。）(What? You know how Penthouse?? Is was found? In fact Pentho ... use the magazine only bought one, good Guia, after never bought ...)

30.Dynamic Hedging-- Nassim |Taleb（借）30.Dynamic Hedging-- Nassim |Taleb (through)

聪聪推荐：作者是很有经验的quant trader，现在纽约，同时在麻省教书。Cong Recommended : The writer is a very experienced quant trader, New York, Massachusetts, teaching at the same time. 是我现在精读的一本书，因为比较不数学，所以放在睡觉之前看，非常实用，但毕竟是给trader看的，太过实用了。I was reading a book, because a little math, so on before sleeping, very practical, it is, after all, to see the trader, a practical too. 。. 。. 。. 大家不要急着买！Let us not hurry to buy! 第二版就快出来了。2nd edition will soon be out.

本人看法：没看过。I view : never seen. -.-b 已在国大图书馆搜到，准备借阅。-.-b Country in search of the library, ready to borrow.

31.Fooled by randomness--Nassim Taleb（借）31.Fooled by randomness--Nassim Taleb (through)

聪聪推荐：看过这本书就知道如何用random的眼光看这个世界了。Cong recommendation : read this book will know how to use random perspective of the world. 。. 。. 。.

32. Misbehaviour of financial markets-- Mandebrot32. Misbehavior of financial markets-- Mande brot

聪聪推荐：作者是研究数学经济的得过Wolf奖的超级数学家！Cong Recommended : The writer is a mathematical study of the economic Wolf Prize won the Super mathematician! 现在耶鲁。Now Yale. 对金融市场有特别的看法。On the financial markets with special views. 这本书一定要看啊！This book must look at the ah!

本人看法：又一本借不到的书。I view : another failed to borrow the book. ~~~><~~~~~~><~~~

33. Liar''s poker--Lewis（电子版）33. Liar '' s poker--Lewis (electronic version)

聪聪推荐：讲以前Solomon brothers的Arb team的，当时是世界最厉害的 quant trader。Cong Recommended : Solomon brothers say before the Arb team. At that time the world's most powerful quant trader. 这本书搞trading的人都会看。This book engage in trading of the people will see.

本人看法：我有电子版，呵呵，娱乐用书。I view : I have the electronic version, Oh, the entertainment book. 顺便提一句，去investment banking interview时，千万别说这是你喜欢的书，这是一个bad answer.(具体参见beat the street P122)Incidentally, to investment banking interview. Never say that this is your favorite book. This is a bad answer. (See specific beat the street P122)

34&35. Market wizards I II---Schwager（借）34&35. Market wizards I II---Schwager (through)

聪聪推荐：教你怎么做trader，这些是老一代 trader了，现在科技发展了，更加依靠Model了，但是好的trader会有共同点的！Cong Recommended : teach you how to do trader, the trader is the older generation, technology is developing, rely more on the Model, but a good trader will have in common!

36。36. stochastic volatility--Nielsen?Stochastic volatility--Nielsen?

聪聪推荐：这是一个论文集，关于stochastic vol的研究很多论文收入在内，但是买来之后觉得很亏！Cong Recommended : This is a collection of essays on stochastic vol many research papers income, But after buying feel loss! 因为都是econometrics背景的论文，和我的研究并不怎么相关。Because they were all econometrics background paper, and my research is how relevant. 大家不要买。Please do not buy. 。. 。.

Levy processLevy process

37。37. Financial modelling with jump process---Rama Cont（印）Financial modeling with jump process---Rama Cont (India)

聪聪推荐：作者是巴黎高科（Ecole polytechnique)的教授，这个学校的学生。Cong Recommended : The writer is a high-Paris (Ecole polytechnique), Professor This school students. 。. 。. 。. 。. donimate伦敦金融城quant领域！Donimate quant City of London financial area. 如果你要找quant职位，练好法语先。If you find quant jobs, strengthening the French first. 。. 。.

法国人的金融数学绝对最厉害，不仅仅金融数学起源于法国，现在一些最新的数学研究都是一群法国数学家在做。French financial mathematics is absolutely the most powerful, not only financial mathematics originated in France, Now some of the latest mathematical research is a group of French mathematicians do. 这本书非常好，数学绝对全面，也够深入，太喜欢了。This book is very good, mathematics absolutely comprehensive, in-depth enough, too much.

这里得要提一下法国的银行，BNP（巴黎银行）， SG（兴业银行），Calyon（农业信贷银行）都是市场的佼佼者。We should mention here in the French bank, BNP (Paris bank), SG (Industrial Bank) Calyon (agricultural credit banks) are the standouts. 特别是前两个，在衍生品领域领先其他bank，不要提GS，ML，MS，在derivatives研究方面，SG的equity， BNP的fixed income领先他们很多。Especially in the first two, in the field of derivatives is a leading bank, not to mention GS, ML, MS, in derivatives research, the SG equity, BNP leader of the fixed income many of them. 如果你听说一个 equity deri. quant 来自SG, 他肯定经常受到猎头骚扰。If you heard that an equity deri. SG quant from certain that he often headhunting harassment.

本人看法：内容的确很全，甚至还有beyond levy processes,恐怖。I view : indeed the entire contents, and even beyond levy processes, terror.

38。38. Levy processes in finance--Wim shouten（印）Levy processes in finance--Wim shouten (India)

聪聪推荐：作者是比利时鲁汶大学的数学教授，最近很红，因为 Levy process很火。Cong Recommended : The writer is a University of Leuven, Belgium, the mathematics professor, has been a very red, Levy process is because the fire. 这本书很贵，只有193页，没怎么看过，因为我还舍不得买。This book is very expensive, only 193 pages, not how seen, because I also reluctant to buy. 。. 。. 。.

本人看法：终于接触到levy process了，否则就像只学过牛顿经典力学一样。I view : He finally exposed to the levy process, as only studied classical mechanics, like Newton.

generalGeneral

39。39. My life as a quant---E.DermanMy life as a quant---E.Derman

聪聪推荐：作者是第一代quant，以前是GS的quant 研究部门head，现在哥大。Cong Recommended : The writer is a first-generation quant, in the past GS quant research department head. Now Columbia. 是stochastic vol领域顶尖人物。Vol stochastic field is the top figure. 其实也是很多其他领域顶尖人物。In fact, as well as many other leading figures in the field. 书不错，但也不是那么好。No. Yes, but not as good. 主要还是作为一个物理学家的角度来写。Mainly as a physicist, to the point of writing.

本人看法：物理，跳过。I view : physics, skip.

40 & 41。40 & 41. Infectious greed & FIASCO--Frank Partnoy（借）Infectious greed & FIASCO--Frank Partnoy (through)

聪聪推荐：作者最初在 First Boston，后来在Morgan Stanley做衍生品的sales。Cong Recommended : Author initially First Boston, Later, Morgan Stanley made derivatives of sales. 书里讲了很多衍生品市场如何骗客户，如何赚取dirty money的事情。Book is about how many derivative market deceive customers, how to make dirty money matters.

另外需要补充的是：Paul Wilmott on Quantitative Finance I II 个人感觉这也是本很好启蒙书，涉猎很广，而且非常非常详细，通俗易懂，也很适合数学背景，总之老少皆宜，可难可易。当年cac刚投身金融数学，其老板对他说：如果你看完这两本书，你就和我水平一样了。最后说一句，如果一开始就目的明确的学习金融数学，又有前辈们指导的话，自然是最好不过，少走很多弯路。但是像我这种半路出家，专业完全不相关的朋友们也不用灰心。只要目标坚定了，日积月累的总会有回报的。