|
PureBytes Links
Trading Reference Links
|
Doug Fields wrote:
>
>
> I'd like to read some more in depth material. This seemed to be a relatively
> high level summary of the field, and I would like to get a bit more into it.
> I can handle more mathematically inclined or otherwise involved material.
> (E.g., McMillian's Options as a Strategic Investment's math is a breeze, and
> Chriss's Black Scholes book is not much of a problem.)
Benninga, Simon (1997) Financial Modeling, The MIT Press, Cambridge.
Brys, Eric, Bellalah, Mondher, Mai, Huu Minh, and Francois De Varenne () Options, Futures, and Exotic Derivatives: theory, application and practice, Wiley, NY.
Gardiner, C.W. (1983) Handbook of Stochastic Methods, Springer-Verlag, NY.
Harvey, Andrew (1989) Forecasting, structural time series models and the Kalman filter, CUP, NY.
Jazwinski, Andrew (1970) Stochastic Processes and Filtering Theory, Academic Press, NY.
Kantz, Holger & Thomas Schreiber (1997) Nonlinear Time Series Analysis, CUP.
Kwok, Y.K. (1998) Mathematical Models of Financial Derivatives, Springer-Verlag, NY.
Mantegna, R. & H.E. Stanley (2000) An Intro to Econophysics, Cambridge, NYC.
Neftci, Salih (1996) The Mathematics of Financial Derivatives, Academic Press, NY.
Nikias, Chris & Athina Petropulu () Higher-Order Spectral Analysis: a nonlinear signal processing framework, Prentice-Hall, Englewood Cliffs, NJ.
Oksendal, B (1998) Stochastic Differential Equations: an intro with applications, Springer-Verlag, NY.
Ruymgaart, P.A. and T.T. Soong (1985) Mathematics of Kalman-Bucy Filtering, Springer-Verlag, NY.
Soong, T.T. (1973) Random Differential Equations in Science and Engineering, Academic Press, NY.
Stratonovich, R.L. (1963) Topics in the Theory of Random Noise, Gordon & Breach, NY.
Watsham, T & K Parramore (1997) Quantitative Methods in Finance, Inter Thompson Busi Press, NY
Weigend, Andreas & Neil Gershenfeld (1994) Time Series Prediction, Proceedings Vol XV, Santa Fe Institute Studies in the Sciences of Complexity, Addison-Wesley, NY.
Wilmott et al (1995) The Mathematics of Financial Derivatives, Cambridge, NY.
> I wouldn't mind some pointers to books about formal trading systems as well.
So would I.
--
Regards, Mark
/\/\/\/\/\....I love humanity. It's people I can't stand...../\/\/\/\/\
==-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-==
hubeyh@xxxxxxxxxxxxxxxxxx =-=-=-=-=-= http://www.csam.montclair.edu/~hubey
|