Livres recommandés par les professeurs du Master 203 – Paris Dauphine
M1
INVESTISSEMENTS ET MARCHÉS FINANCIERS
- Harris, L., 2003. Trading and Exchanges: Market Microstructure for Practitioners. Oxford
University Press. - Hillier D., Grinblatt M. and S. Titman, Financial Markets and Corporate Strategy, Irwin-Mc Graw Hill
FINANCE INTERNATIONALE
- King, M.R., Osler, C. and D. Rime Foreign Exchange Market Structure, Players and Evolution
- Foucault, T., Kozhan R. and W. Wah Tham Toxic Arbitrage Review of Financial Studies
- Akram, Q.F., Rime, D., and L. Sarno Arbitrage in the Foreign Exchange Market: Turning on the Microscope, Journal of International Economics
- Marsh, I., Passari, E., and L. Sarno Purchasing Power Parity in Tradable Goods
- Rey, H. Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence
- Mark N. C. Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability
TITRES A REVENU FIXE
- Fabozzi, F. J., The handbook of Fixed Income Securities, McGraw-Hill Education
- Hull, J. C., Fundamentals of futures and Options Markets, Pearson
- Thorp, E. O., A man for all markets, Random House
- Zuckermann, G., The Greatest Trade Ever, Crown Business
- Lowenstein, R., When Genius failed, Random House
- Taleb, N., The Black swan: The Impact of the Highly Improbable, Random House
PRODUITS DÉRIVÉS
- John C. Hull Options, Futures, & Other Derivatives
- Paul Wilmott: Derivatives The Theory and Practice of Financial Engineering
- Sheldon Natenberg Option Volatility and Pricing: Advanced Trading Strategies and Techniques
- Nassim Nicolas Taleb Dynamic Hedging: Managing Vanilla and Exotic Options
EVALUATION DES DERIVES ET CALCUL STOCHASTIQUE
- Back K. , A Course in Derivative Securities: Introduction to Theory and Computation, Springer Science Textbook
- Lamberton D. and B. Lapeyre, Introduction to Stochastic Calculus applied to finance
- Paul Wilmott Introduces quantitative Finance
INTRODUCTION A L’ECONOMETRIE DE LA FINANCE
- Adkins L. C., Using gretl for Principles of Econometrics
- Brooks C., Introductory Econometrics for Finance, Cambridge University Press
- Gelman A., J. Hill and A. Vehtari, Regression and Other Stories, Cambridge University Press
- Gujarati D., Basic Econometrics, McGraw Hill Higher Education
- Hill C., W. Griffiths and G. Lim, Principles of Econometrics, Wiley
- Le Fol G., A (very) short introduction to Gretl using scripts, Mimeo
PROGRAMMATION EN VBA
- Jackson M. and M. Staunton, Advanced modelling in finance using Excel and VBA, Wiley
ETHIQUE, NORMES PROFESSIONNELLES ET CONFORMITE
PREPARATION AUX ENTRETIENS EN ANGLAIS
M2
MARCHES ET FINANCEMENT DE L’ECONOMIE
- Mishkin F. S. , Economics of Money, Banking, and Financial Markets
- Reinhart C. M. & K. S. Rogoff, This Time Is Different: Eight Centuries of Financial Folly
TITRES A REVENU FIXE
- Brigo D. and F. Mercurio, Interest Rate Models-Theory and Practice With Smile, Inflation and Credit, Springer-Verlag Berlin and Heidelberg GmbH & Co
COMMODITIES
- Eydeland A., Wolyniec K., Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging, WileyEurope
- Geman H., Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy, Wiley Finance
- Intelligent Commodity Investing, edited by H.Till and J. Eagleeye, Riskbooks
- Risk Management in Commodity Markets, edited by H.Geman, Wiley
DERIVES D’ENERGIE
- Clewlow L. & Strickland S., Energy Derivatives: Pricing & Risk Management, Lacima Group Pub
- Eydeland A. & Woliniec K, Energy and Power Risk Management: New Developments in Modelling, Pricing and Hedging, Wiley
- Géman H., Commodities and commodity derivatives: modelling and pricing for agriculturals, metals and energy, Wiley
SERIES TEMPORELLES APPLIQUEES
- Brooks C, Introductory econometrics for Finance, Cambridge Univ Pr.
- Brockwell, P.J. et Davis, R.A. Introduction to time series and forecasting, Springer Verlag
- Campbell J., Lo A., et McKinley, A. , The Econometrics of Financial Markets. NJ: Princeton University Press
- Francq C, et Zakoïan J.M. , Garch models: Structure, statistical inference and financial applications, Wiley
- Hamilton J. D. , Time Series Analysis, Princeton University Press
RISQUE DE CREDIT
- Options, Futures and Other Derivatives , Prentice Hall,
By John C. Hull - Credit Risk : Modeling, Valuation and Hedging, Springer Finance,
By Tomasz R. Bielecki, Marek Rutkowski
- Altman, Edward, Andrea Resti, and Andrea Sironi, « Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence », Economic Notes
- Jarrow, Robert A. and Stuart M. Turnbull. « Pricing Derivatives on Financial Securities Subject to Credit Risk », Journal of Finance, Vol. L, No. 1, Cornell University, and Queen’s University
- Hull, John and Alan White, « The Impact of Default Risk on the Prices of Options and Other Derivative Securities », Journal of Banking & Finance, Vol. 19, No. 2
- Duffie, Darrel, Lasse Hefe Pedersen and Kenneth J. Singleton, « Modeling Sovereign Yield Spreads: A Case Study of Russian Debt », Journal of Finance, (February 2003), Vol. LVIII, No. 1
- Elliott, Robert J., Monique Jeanblanc, and Marc Yor, « On Models of Default Risk », Mathematical Finance, Vol. 10, No. 2
- Schönbucher, Philipp J., « Term Structure Modelling of Defaultable Bonds », The Review of Derivatives Research, Vol. 2, No. 2/3
- Heath, David, Robert Jarrow, « Bond pricing and the Term Structure of Interest Rates: A Discrete Time Approximation », Journal of Financial and Quantitative Analysis, Vol. 25, No. 4, Cornell University, University of Illinois at Chicago
- Jarrow, Robert A., and Stuart M. Turnbull. « Pricing Derivatives on Financial Securities Subject to Credit Risk », Journal of Finance, Vol. L, No. 1, Cornell University, and Queen’s University
GESTION DES RISQUES
- Cherubini U., E. Luciano and W. Vecchiato, Copula Methods in Finance, Wiley
- Roncalli T., La Gestion des Risques Financiers, Economica , Collection Gestion
EVALUATION DE DERIVES ET CALCUL STOCHASTIQUE
- Bouchard B. et Chassagneux J.F., Fundamentals and advanced Techniques in derivatives hedging, Springer
- Lamberton D. et B. Lapeyre, Introduction au calcul stochastique appliqué à la finance, Ellipses
ECONOMETRIE DE LA FINANCE
- Greene W. H., Econometric Analysis, Pearson
- Hastie T., Tibshirani R., and J. Friedman, The Elements of Statistical Learning, Springer Series in Statistics
- Meucci A., Risk and Asset Allocation, Springer Finance
- Tsay R., Analysis of Financial Time Series, Wiley-Blackwell
MACHINE LEARNING EN FINANCE
- Trevor Hastie, Robert Tibshirani, Jérôme Friedman , The elements of statistical learning, Springer
- Tuffery S , Data mining and statistics for decision making , Wiley
- Hinton Geoffrey , Neural networks for machine learning, Toronto university
- Ng Andrew , Machine Learning, Stanford university
PYTHON POUR LE FINANCE APPLIQUEE
- Hilpisch, Yves, Python for Finance: Analyze Big Financial Data, O’Reilly Publishing
OPTIONS EXOTIQUES ET PRODUITS STRUCTURES
- Blümke, A., How to Invest in Structured Products: A Guide for Investors and Asset Manager, Wiley
- Bouzoubaa, M. and A. Osseiran, Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading, Wiley
- Hull, John C., Options, Futures & other Derivatives, International Edition
FINANCE DURABLE
- Schoenmaker D. and W. Schramade, Principles of Sustainable Finance, Oxford University Press
FINANCE ALTERNATIVE
- Alexandridis, A. K. and A. D. Zapranis, Weather Derivatives, Springer
- Barrieu P., and L. Albertini, The Handbook of Insurance-Linked Securities, Wiley
- Frunza, M., Carbon allowances: A new financial asset, Editions universitaires europeennes
- Guthrie G., Real Options in Theory and Practice, OUP
FINANCE COMPORTEMENTALE
- Daniel Kahneman, Paul Slovic, and Amos Tversky (eds.), Judgment under uncertainty: Heuristics and biases, Cambridge: Cambridge University Press
- Richard Thaler, ed., Advances in behavioral finance, New York: Russell Sage Foundation
- Richard Thaler, ed., Advances in behavioral finance, Volume II, New York: Russell Sage Foundation
- Shleifer, Inefficient markets : an introduction to behavioral finance, Oxford, Oxford University Press
MARCHES ELECTRONIQUES
- Bacidore, J. R., Algorithmic Trading Method: A practitioner’s guide, TBG Press New York
- Chan E., Algorithmic Trading- Winning Strategies and Their Rationale, Wiley
- Guéant O., The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, Chapman and Hall
- Kissell, R., Algorithmic Trading Method: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques, Academic Press Inc
- Lehalle C. A. and S. Laruelle, Market Microstructure in Pratice, World Scientific
- Johnson B, 2010, Algorithmic Trading & DMA, Myeloma Press
FINANCE NUMERIQUE
- Crépey S., Computational Finance Lecture Notes
- Lamberton D. and Lapeyre P., Introduction to Stochastic Calculus Applied to Finance. Chapman & Hall
- Shreve S., Stochastic Calculus for Finance II, Springer Finance
- Hull J., Options, Futures, and Other Derivative Securities, Prentice-Hall
STRATEGIES DE TRADING DE VOLATILITE
- Bennett C. , Volatility Trading, Santander Research Notes
- Cochrane, J.H., Asset Pricing, Princeton University Press
- Demeterfi, Derman, Kamal & Zou, More Than You Ever Wanted to Know About Volatility Swaps, GS Research Notes
- Hull, J. , Options, futures and other derivatives, Pearson Prentice Hall
- Ilmanen, A. , Expected returns, Wiley Finance.
- MacDonald R. L. Derivatives Markets, Addison Wesley
- Riva, F. , Applications financières sous Excel en Visual Basic, Economica
- Taleb, N. , Dynamic Hedging: Managing Vanilla and Exotic Options, Wiley
PROGRAMMATION EN C++
- Stanley B.Lippman, Josee Lajoie, Barbara Moo, « C++ Primer «
- Koenig A. & B. E. Moo, « Accelerated C++ », Addison-Wesley
- Bjarne Stroustrup, « The C++ Programming Language »
- Nicolai M. Josuttis N. M., « The C++ standard library » 2nd edition, Addison-Wesley
- Scott Meyers, “Effective STL”, Addison-Wesley
FUSIONS & ACQUISITIONS
- Ceddaha F., Fusions – Acquisitions, Economica
- Vernimmen P., P. Quiry et Y. Le Fur, Finance d’entreprise, Dalloz
- Higgins R., Analysis for Financial Management, McGraw-Hill Education
- Rosenbaum J., Investment banking, Wiley
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Lire aussi : Les meilleurs formations pour le métier de Trader
