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tags: finance, python
---

# References for Python Programming in Finance

## ++Computer Science++
### Python Programming
- [CS41 happy code the python programming language](https://stanfordpython.com/archive/), Stanford University <font size = -1 color = "red">IN PROGRESS</font>
- [Python Practice](http://python.berkeley.edu/resources/), University of California, Berkeley <font size = -1 color = "red">IN PROGRESS</font>
- [CS 61A: Structure and Interpretation of Computer Programs](https://cs61a.org/), University of California, Berkeley <font size = -1 color = "red">IN PROGRESS</font>
- [CMU 15-112: Fundamentals of Programming and Computer Science](https://www.cs.cmu.edu/~112/index.html), Carnegie Mellon University, 2021sp <font size = -1 color = "red">IN PROGRESS</font>

## ++Mathematical Foundations++
### Calculus
- TBA

### Linear Algebra
- Stephen H. Friedberg, Arnold J. Insel, Lawrence E. Spence, [Linear Algebra](https://www.amazon.com/Linear-Algebra-5th-Stephen-Friedberg/dp/0134860241/), 5/e, 2018

### Probability Models
- Sheldon Ross, [Introduction to Probability Models](https://www.elsevier.com/books/introduction-to-probability-models/ross/978-0-12-814346-9), 12/e, 2019

### Statistics
- Svetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi, and Sergio M. Focardi, [Probability and Statistics for Finance](https://www.wiley.com/en-us/Probability+and+Statistics+for+Finance-p-9780470400937), 2010
- Robert V. Hogg, Joseph W. McKean, and Allen T. Craig, [Introduction to Mathematical Statistics](https://www.amazon.com/-/zh_TW/dp/0134686993/), 8/e, 2019
- George Casella and Roger L. Berger, [Statistical Inference](https://www.amazon.com/Statistical-Inference-George-Casella/dp/0534243126), 2/e, 2001
- 陳旭昇，[統計學：應用與進階](http://homepage.ntu.edu.tw/~sschen/Book/Book1.html)，第三版
- 陳旭昇，[時間序列分析 - 總體經濟與財務金融之應用](http://homepage.ntu.edu.tw/~sschen/Book/Book2.htm)，第二版

### Time Series
- Kutner, Nachtsheim, Neter, and Li, [Applied Linear Statistical Models: Applied Linear Regression Models](https://www.amazon.com/Applied-Linear-Statistical-Models-Michael/dp/007310874X), 5/e, 2019

### Numerical Methods
- Paul Glasserman, [Monte Carlo Methods in Financial Engineering](https://www.springer.com/gp/book/9780387004518), 2003

## ++Finance++

### Investment
- Zvi Bodie, Alex Kane, Alan J. Marcus, [Investments](https://www.amazon.com/ISE-Investments/dp/1260571157/), 12/e, 2020

### Derivatives
- John C. Hull, [Options, Futures, and Other Derivatives](https://www.amazon.com/Options-Futures-Other-Derivatives-10th/dp/013447208X), 10/e, 2017

### Portfolio Management
- Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, [Financial Modeling of the Equity Market: From CAPM to Cointegration](https://onlinelibrary.wiley.com/doi/book/10.1002/9781119201236), 2012
- 石川，[因子投資：方法與實踐](https://www.sanmin.com.tw/Product/index/007867990)，2020
- Fischer Black and Robert Litterman, [Global Portfolio Optimization](https://www.jstor.org/stable/4479577), 1992: [pdf](http://www.sef.hku.hk/tpg/econ6017/2011/black-litterman-1992.pdf)
- Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann, [Global Asset Allocation: New Methods and Applications](https://www.amazon.com/Global-Asset-Allocation-Methods-Applications/dp/0471264261), 2002
- Bob Litterman and Quantitative Resources Group, [Modern Investment Management: An Equilibrium Approach](https://www.amazon.com/Modern-Investment-Management-Equilibrium-Approach/dp/0471124109), 2003
- Igor Tulchinsky, [Finding Alphas: A Quantitative Approach to Building Trading Strategies](https://www.amazon.com/-/zh_TW/dp/1119571219), 2019

### Trading System
- Perry J. Kaufman, [Trading Systems and Methods](https://www.amazon.com/Trading-Systems-Methods-Website-Wiley/dp/1118043561), 5/e, 2013

### Risk Management
- John C. Hull, [Risk Management and Financial Institutions](https://www.amazon.com/Management-Financial-Institutions-Wiley-Finance/dp/1119448115/), 5/e, 2018
- Emanuel Derman, Michael B. Miller, and David Park, [The Volatility Smile](https://www.amazon.com/Volatility-Smile-Wiley-Finance/dp/1118959167), 2016
- Colin Bennett, [Trading Volatility: Trading Volatility, Correlation, Term Structure and Skew](https://www.amazon.com/Trading-Volatility-Correlation-Term-Structure/dp/1499206070), 2014
- Dan Passarelli, [Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits](https://onlinelibrary.wiley.com/doi/book/10.1002/9781118531846), 2/e, 2012
- Rama Cont, [Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling](https://onlinelibrary.wiley.com/doi/book/10.1002/9781118266915), 2012

#### Financial Risk Managemer (FRM)
- Global Association of Risk Professionals, [Financial Risk Manager (FRM®)](https://www.garp.org/#!/frm)
- You may refer to the official study guide: https://www.csie.ntu.edu.tw/~d00922011/python/misc/FRM-StudyGuide-092520_annotated.pdf

### Financial Engineering: Pricing Theory & Financial Mathematics
- Tomas Björk, [Arbitrage Theory in Continuous Time](https://www.amazon.com/Arbitrage-Theory-Continuous-Oxford-Finance/dp/019957474X), 3/e, 2009
- Steven Shreve, [Stochastic Calculus for Finance I: The Binomial Asset Pricing Model](https://www.springer.com/gp/book/9780387401003), 2004
- Steven Shreve, [Stochastic Calculus for Finance II: Continuous-Time Models](https://www.springer.com/gp/book/9780387401010), 2004
- Brigo, Damiano, Mercurio, Fabio, [Interest Rate Models Theory and Practice with Smile, Inflation and Credit](https://www.springer.com/it/book/9783540221494), 2/e, 2006